portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as … well as the Basel Accords. The study is aimed at presenting the evolution and critique of risk measures and risk models in … banking, with a special focus on the dynamically developing area of systemic risk measures. A discussion of the features of …