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We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...
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Basel III regulation intent is to increase the resiliency of banks through effective risk management practices that can … United States economy. The viral spread of operational losses through global markets by interconnected multinational banks … practices posed by the Basel III regulation for BHCs, which may reduce the spread of significant losses in the banks. Through …
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Banks are growing ever larger compared to their national economies. We show that increases in relative bank size … (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 …
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