In many standard derivation and presentations of risk measures like the Value-at-Risk or the Expected Shortfall, it is … issue of errors stemming from the internal model estimation process in the context of credit risk, calling for margins of … framework of the Asymptotic Single Risk Factor model that represents the baseline for the derivation of the credit risk measures …

A side-effect of the better differentiation of credit risk in the New Basel Capital Accord is the danger of a sharp … suggested which “buffers” the cyclicality effect by considering simple Value-at-Risk calculations. Its main advantage is the … transparent reflection of a bank's actual risk and the retention of risk sensitive weights - an essential goal of Basel II …

Crises ; Macroprudential Risk ; Debt-Deflation Process ; Ponzi Finance … risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been …

The regulatory use of banks' internal models makes capital requirements more risk-sensitive but invites regulatory … arbitrage. I develop a framework to study bank regulation with strategic selection of risk models. A bank supervisor can … discourage arbitrage by auditing risk models, and implements capital ratios less risk-sensitive than in the first-best to reduce …