In this paper, we study the impact of extreme events on the loan portfolios of the Greek banking system. These portfolios are grouped into three separate groups based on the size of the bank to which they belong, in particular, large, medium, and small size. A series of extreme scenarios was...

Central counterparty (CCP) initial margin models are procyclical by nature, and CCPs use antiprocyclicality (APC) tools to mitigate this. However, despite the widespread use of such tools, margin models of CCPs around the world reacted severely to the heightened volatility during the March 2020...

Farmer Mac is the GSE charged with creating a secondary market in loans backed by agricultural real estate. The Farm Credit Administration (FCA) has estimated a credit risk model for agricultural mortgages. This model is a key determinant of Farmer Mac’s risk based capital (RBC) requirement....

This paper examines the role and determinants of collateral in emerging markets compared to mature ones. Analyzing a data set of 560 credit files of Thai commercial banks, we find that both the incidence and degree of collateralization are higher there than in developed markets. Thai banks use...

In this paper, by applying the potential approach to characterizing default risk, a class of simple affine and quadratic models is presented to provide a unifying framework of valuing both risk-free and defaultable bonds. It has been shown that the established models can accommodate the existing...

ResumenEl ejercicio de valorar el riesgo crediticio en Colombia es una tarea ardua,toda vez que los elementos del contexto que deben ser considerados enel mencionado proceso son diversos. Esta situación conduce necesariamentea la combinación de métodos, tanto cuantitativos como cualitativos,...

A challenge in enterprise risk measurement for diversified financial institutions is developing a coherent approach to aggregating different risk types. This has been motivated by rapid financial innovation, developments in supervisory standards (Basel 2) and recent financial turmoil. The main...

No organisation is immune to risk. Moreover, each organisation’s risks change constantly. Every organisation must learn to anticipate and prevent risk by identifying, measures, and controlling business. In this article we will show that banking risk management is an ever-changing process...