This paper investigates the managing strategies of a bank's liquidity reserve in the broader context of the role of asset-liability management according to the liquidity issues of a banking organisation. Several types of liquidity are presented and how these are interconnected and how they might...

The purpose of this paper is to investigate the main drivers of the change in the credit risk provisions at a portfolio level for the banks that have been subject of the 2018 EBA stress tests. Therefore, we perform a holistic review of the drivers of the three-year projections of credit losses....

In this paper, we investigate how the regulatory stress test framework in the European Union affects banks' investment decisions and portfolio choices. Using the causal inference and event study methodology, we document a substantial impact of EU-wide stress tests in 2011, 2014 and 2016 on the...

A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk...

Credit risk is an important issue in many finance areas, such as the determination of cost of capital, the valuation of corporate bonds and pricing of credit derivatives. Credit risk has also been a cause and consequence of the current financial crisis. Thus, methods for measuring credit risk,...

Little is known about the location of bank risk, i.e., which investors in which countries hold bank-issued securities like bonds and stocks. In this paper, we analyze the (re-)distribution of bank risk across asset classes (short- and long-term debt, equity), across investor types and across...

We consider an investor whose objective is to trade off tail risk and expected growth of the investment. We measure tail risk through portfolio's expected losses conditioned on the occurrence of a systemic event: financial market loss being exactly at, or at least at, its VaR level and...

One of the key challenges implied by the upcoming regulatory framework for market risk, known as FRTB, is the PL attribution (PLA) tests. PLA tests constitute a major innovation in the way risk engine and models are assessed for effectiveness and accuracy (on both pricing and risk factors...

We build an equilibrium model of the capital structure and risk-taking in the originate-to-distribute intermediation chain in presence of absolute demand for safety by some investors and limited endowment by equity investors. Loan originators may expand investment by raising funds from...

Bilateral derivatives valuation is subject to counterparty credit risk (CCR) in that a counterparty could jump to default or its credit spread could vary over time. In the nomenclature of risk management, the former is called CCR exposure and the later leads to credit valuation adjustment (CVA)....