Cyber risk, a type of operational risk, is today considered a key component in the enterprise risk management framework …. Under BASEL regulations, a bank could recognize the risk mitigating impact of the Cyber Liability Insurance (CLI) contract … while calculating the minimum operational risk capital requirement. Despite this benefit and the onerous data protection …

we show that a large amount of aggregate tail risk is missing from the cost of financial sector crash insurance during … the crisis. The difference in costs between out-of-the-money put options for individual banks and puts on the financial … guarantee for the financial sector lowers index put prices far more than those of individual banks and explains the increase in …

we show that a large amount of aggregate tail risk is missing from the cost of financial sector crash insurance during … the crisis. The difference in costs between out-of-the-money put options for individual banks and puts on the financial … guarantee for the financial sector lowers index put prices far more than those of individual banks and explains the increase in …

In this paper we obtain some formulas for pricing contingent convertibles subject to what we call extension risk, i …

conversion risk is the key feature of CoCo bonds. Because of this conversion risk, CoCo bonds are hard to price and an … exists, it is a decreasing function in the amount of equity held by the bank. Well-capitalized banks can thus issue CoCo … bonds at a lower price than least-capitalized banks. This is the reason why CoCo bonds are to be thought of more as a …

This paper examines the dimensions of risk in the Nigerian Business environment with the objective of identifying the … parameters of the model. It was found that the return of individual banks in Nigeria is less volatile than the market return … individual insurance firms in Nigeria is more volatile than the return of individual banks in Nigeria. The security variance for …

model combinations the value and interest rate risk of 13 non-maturing product categories for up to 400 German banks on an … valuation of non-maturing banking products. For ranking banks according to the interest rate risk of their products the pass …Non-maturing banking products are important asset and liability positions of banks. Their complexity inter alia arises …

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity … indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary equities …. The technique for computing them combines risk-neutral return distributions with implied return correlations drawn from …

extension risk. Under the new regulatory Basel III framework, CoCo bonds can be categorised as either belonging to the …. At that time, banks issued callable bonds with a coupon-step up after the first call date. These bonds were categorised … extension risk into a valuation method for CoCo bonds …

Risk (VaR) framework for the market risk capital of bank trading books. While the new rule boosts capital standards, the … capital requirement seems overly burdensome and not sufficiently responsive to market dynamics. It also increases model risk … and opaqueness of capital estimates. Chaudhury (2011) recently reported that the extreme tail risk of US stock portfolios …