In many standard derivation and presentations of risk measures like the Value-at-Risk or the Expected Shortfall, it is … issue of errors stemming from the internal model estimation process in the context of credit risk, calling for margins of … framework of the Asymptotic Single Risk Factor model that represents the baseline for the derivation of the credit risk measures …

-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 …

(TLTRO) on banks’ risk, given by their distance to default (DtD). The study aims to determine if the liquidity from TLTROs … influences banks’ risk-taking behaviour. For the period from 2012:Q1 to 2018:Q4, covering 90 listed banks from 16 Eurozone … countries, our findings show that TLTRO is associated with an increase in banks’ default risk. However, banks that participated …

efficient ones. We also study extensions with heterogenous “bad risks,” with diversity in the costs to good risk firms of …