Active credit portfolio management is becoming a central part of capital and credit management within the banking industry. Stimulated by the Basel II capital accord the estimation of risk sensitive credit and capital management is central to success in an increasingly competitive environment....

Operational risk management and measurement has been paid an increasing attention in last years. The main two reasons are the Basel II requirements that were to be complied with by all international active financial institutions by the end of 2006 and recent severe operational risk loss events....

This paper focuses on operational risk measurement techniques and on economic capital estimation methods. A data sample of operational losses provided by an anonymous Central European bank is analyzed using several approaches. Multiple statistical concepts such as the Loss Distribution Approach...

Operational risk management and measurement has been paid an increasing attention in last years. The main two reasons are the Basel II requirements that were to be complied with by all international active financial institutions by the end of 2006 and recent severe operational risk loss events....

The main objective of this study is to indicate the in uence of local macroeconomic factors, consequently GDP growth rates, the reference interest rate, industrial production growth rates, Warsaw Stock Exchange Index (WIG) returns and the volume of private equity investments, on the number of...

This paper builds a macro-prudential tool designed to assess whether the banking sector is adequately prepared to orderly withstand losses resulting from normal or stressed macroeconomic and microeconomic scenarios. The link between the banking sector and the real sector is established via the...

This paper proposes an integrated risk-management framework that includes 1) measuring the risk of credit portfolios, 2) implementing a (macro) stress test, and 3) setting risk limits using the estimated systematic latent factor specific to capture the housing market cycle. To this end, we...

The main objective of this study is to indicate the in uence of local macroeconomic factors, consequently GDP growth rates, the reference interest rate, industrial production growth rates, Warsaw Stock Exchange Index (WIG) returns and the volume of private equity investments, on the number of...

This paper develops a framework for stress-testing the credit risk of Chinese commercial banks to macroeconomic shocks. Using data over the period 1985-2008, this study establishes a vector auto-regression (VAR) model to describe the links between default rate and macroeconomic factors, and then...

This paper builds a macro-prudential tool designed to assess whether the banking sector is adequately prepared to orderly withstand losses resulting from normal or stressed macroeconomic and micro-economic scenarios. The link between the banking sector and the real sector is established via the...