, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system …

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 …

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 …

In line with regulations and common risk management practice, the credit risk of a portfolio is managed via its … manage their risks.Due to the growth of credit valuation adjustment (CVA) computations, and the similarity of CVA … computations to exposure computations, firms find it expedient to compute these exposures under the risk neutral measure.Here we …

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 …

Keeping in view that the roles of portfolio risk and the relationship between different risky lending assets in loan … valuation have not been studied empirically, this study examines the relationship between undiversiable portfolio risk and … portfolio lending with an attempt to fill the gap between the concept of portfolio risk diversification and the practice of …

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 …

Private debt owed to banks and other financial institutions has been at unprecedented high levels. This paper studies … increased risk that they encounter a sharp fall in their wages. People who tend to be particularly affected are the low … measures that aim to avoid credit overexpansion are two policies that can improve the links of private debt with labour income …

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or …. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk … issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities …

We analyze the stability of efficiency rankings of German universal banks between 1993 and 2004. First, we estimate … different risk preferences and measure efficiency with a structural model based on utility maximization. Using the almost ideal … demand system, we estimate input and profit demand functions to obtain proxies for expected return and risk. Efficiency is …