operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank …We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …

of Merton-type models can be used to measure bank risk, and then examine the link between various risk measures and …

requiring banks to calculate operational risk capital, and disclose qualitative and quantitative information. Using a difference …-in-differences setup featuring partial US implementation relative to full EU adoption, we find that the introduction of operational risk …

We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a … role in explaining the severity of cyclical and credit risk materialization during financial cycle contractions. Among …

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and … probabilities are less exposed to model and estimation risk. In addition, the risk horizon over which the stress default … extensive robustness checks for model-based credit risk stress tests. …

This study provides new insights into banks' credit risk models by exploring features of their credit risk estimates … credit risk estimates from twelve global A-IRB banks, covering monthly observations on 20,000 North American and EU large … time homogeneity at a larger scale than previously documented in the literature. The results show that internal credit risk …

adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and …/country-specific systematic factors, the model focuses on credit default concentration risk as a major source of large losses that may have … systemic impact. A test run using a sample of 12 systemically important German banks provides measures for systemic credit risk …

that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …

Under the new Capital Accord, banks choose between two different types of risk management systems, the standard or the … 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 …