internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the … presence of supervision by bank regulators. The model uses a principal-agent setting between a bank's owner and its risk … standard approach subsequent to becoming regulated, i.e., the presence of regulation may induce a bank to decrease the quality …

- built upon a rich, non-linear dependence structure for interconnected bank portfolios. Incorporating numerous sector … model-based combined requirements range between 6.3% and 27.2% of credit RWA depending on the bank. A comparison with the …

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit … managerial and market factors. Furthermore, the bank's equity and asset/liability management has to be addressed simultaneously … by bank managers. …

their effects on the bank risk, liquidity and profitability before the crisis event and contributes to the recent scarce … performance. Nevertheless, the effect of residential mortgage loans securitization on bank risk appeared to be negative after the … crisis, indicating that the securitization of this type of credit can reduce the bank risk in the detriment of a lower profit …

to bank internal rating data, under different economic scenarios and investigates the implications of credit risk quality …