) risk estimates with portfolio risk. We use loan performance as a direct measure of portfolio risk as well as less direct … market-based measures. Our results document that loan performance is highly correlated with AIRB risk weights and that, in … contrast, Basel I risk weights are not reflective of loan performance. We find that capital requirements under the AIRB …

This paper investigates the incentives for banks to bias their internally generated risk estimates. We are able to … estimate bank biases at the credit level by comparing bank-generated risk estimates within loan syndicates. The biases are … credits. In addition, we find that low-capital banks' risk estimates have less explanatory power than those of high …

This paper investigates the incentives for banks to bias their internally generated risk estimates. We are able to … estimate bank biases at the credit-level by comparing bank generated risk estimates within loan syndicates. The biases are … addition, we find that low-capital banks' risk estimates have less explanatory power than those of high-capital banks with …

studies conducted in 11 countries to explore liquidity risk transmission. Among the main results is, first, that explanatory … power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

corporations. The main financial institutions consider reputation as one of the six risk factors to be managed by any corporation … standard ways academic literature has dealt with reputational risk: the multifactor model and the cumulative abnormal return …

studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

We develop a structural model of the global banking network and analyze its role in facilitating risk sharing and … explains variation in risk sharing and amplification across countries. Moreover, we show that cross‐border loan supply has … become less elastic over time, resulting in a decline in risk sharing. While shock amplification has also declined on average …

Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk … default risk of STOXX Europe 600 firms. For about 5% of the sample firms, we find asset devaluation shocks larger than 30% and … stress test on credit risk based on these results, we find a decrease in capital ratios between $$-1.2$$and $$-1 …

Risk management is essential part of health of Islamic Bank (IB) and the health of entire financial market. One … important tools in risk management to avoid the failure of a bank is the capital held by the bank. Understanding the importance … of risk management and capital adequacy, Basel Committee on Banking Supervision (BCBS) published several guidelines …