, 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 …

Claiming that the implicit cost of deposit insurance is an alternative proxy for risk-taking behavior, we examine the … management on the risk of Thai financial institutions. Our empirical results suggest that, during 1994-1996, the largest … shareholders engage in low risk-taking activities when they hold large cash flow rights and have low deviation of cash flow from …

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

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 …