for private equity investments under the simple risk weight approach, the PD/LGD approach and the internal model approach … incentives to banks for using advanced risk models. …

varying quality. The method allows us to derive a credit risk indicator (CRI), which is the perceived share of high risk … subprime crisis. This suggests that the market was aware of their (average) exposure to high risk credit. …

stability by highlighting different types of risk and the role of leverage. By means of a simple model we show that competition … can affect portfolio risk, insolvency risk, liquidity risk, and systemic risk differently. The effect depends crucially on … using a more precise classification of risk. Our theoretical model therefore helps to clarify a number of apparently …

size relative to the national economy. We then examine how a bank’s risk and return, its activity mix and funding strategy … trade-off between risk and return, systemic size is an unmitigated bad, reducing return without a reduction in risk. Despite … a higher sensitivity of their funding costs to risk proxies, suggesting that they are often too big to save. The finding …