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 …

The 2004 Basel II accord requires internationally active banks to hold regulatory capital for operational risk, and the … Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) requires banks to project operational risk losses under … stressed scenarios. As a result, banks subject to these rules have measured and managed operational risk more rigorously. But …

Operational risk is being considered as an important risk component for financial institutions as evinced by the large … sums of capital that are allocated to mitigate this risk. Therefore, risl measurement is of paramount concern for the … purposes of capital allocation, hedging, and new product development for risk mitigation. We perform a comprehensive evaluation …

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

We show that banks' risk exposure in one asset category affects how they report regulatory risk weights for another … asset category. Specifically, banks report lower credit risk weights for their loan portfolio when they face higher risk … constraints. Our results suggest the existence of incentive spillovers across different risk categories. We relate this behavior …

conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk … sample selection bias, we show that CoCo bonds issuance has a strong positive e↵ect on risk-taking behaviour, particularly … amplifies the impact of CoCo bonds on risk-taking. …

-modellable risk factors (NMRF) as foreseen under the Basel Fundamental Review of the Trading Book (FRTB) rules for market risk. In … this paper, we present the foundations of such a methodology. By design, it is universally applicable to all kinds of risk … universe of real historical returns from all asset classes. Finally, we extend the methodology from single risk factors to …

Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In …. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by adjusting … adequacy of Value at Risk measures. One main finding indicates that backtests of all classes show heavy size distortions. These …

risk; if such regulation also reduces systemic risk, the benefits are even larger. September 27, 2018, revised January 23 …