We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

Purpose: SME sector credit risk has received attention in research from several dimensions of the financial system. SME … current research on the area, we approach SME risk from perspective of FIs own risk assessments and compare it to how SME risk … rating and measurement compares to other counterparties. Design/methodology/approach: We use published risk rating data from …

choose their portfolio risk, bank size, and capital holdings. Banks voluntarily hold equity when the buffer effect against … the risk of default outweighs the cost advantages of debt financing. In the optimum, banks with lower monitoring costs are … larger, choose riskier portfolios, and have less equity. Binding capital requirements or levies on bank borrowing are shown …