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 …

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 …

(measured as a bank's liabilities divided by national GDP) are linked to banks displaying higher tail risk. This effect is not … entirely due to risk channels that disproportionately expose relatively large banks to systematic tail risks, sovereign risks …, or banking crises. Instead, we detect a persistent component in the tail risk of relatively large banks that is bank …

We apply text analysis to Twitter messages in Spanish to build a sentiment- based risk index for the financial sector … captures the impact of sources of financial stress not explicitly encompassed in quantitative risk measures. Finally, we show … that a shock in our Twitter sentiment index correlates positively with an increase in financial market risk, stock market …

We apply sentiment analysis to Twitter messages in Spanish to build a sentiment risk index for the financial sector in … that this novel index captures the impact of sources of financial stress not explicitly encompassed in quantitative risk … Twitter sentiment index correlates positively with an increase in financial market risk, stock market volatility, sovereign …

management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial … heterogeneity in the balance sheet characteristics that affect banks' responses to liquidity risk. Overall, balance sheet …Activities of international banks have been at the core of discussions on the causes and effects of the international …

management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial … heterogeneity in the balance sheet characteristics that affect banks' responses to liquidity risk. Overall, bank balance sheet …Activities of international banks have been at the core of discussions on the causes and effects of the international …

This paper considers a simple model of credit risk and derives the limit distribution of losses under different … through active credit portfolio management. However, if the firm risk exposures are draws from different parameter … unexpected loss or value-at-risk. The theoretical results are confirmed empirically using returns and credit ratings for firms in …

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … tranches inflicted severe losses on banks, calling into question the credibility of Rating Agencies. I discuss the limits of … the standard risk frameworks in CSF (Gaussian, Single Risk Factor Model; GSRFM), popular among market participants. If …

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … tranches inflicted severe losses on banks, calling into question the credibility of Rating Agencies. I discuss the limits of … the standard risk frameworks in CSF (Gaussian, Single Risk Factor Model; GSRFM), popular among market participants. If …