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IRC and CRM : Modelling Framework for the 'Basel 2.5' Risk Measures

Wilkens, Sascha; Brunac, Jean-Baptiste; Chorniy, Vladimir - 2023

This paper presents a modelling framework for the Incremental Risk Charge (IRC) and Comprehensive Risk Measure (CRM) as the new capital requirements for market risks in a bank’s trading book ("Basel 2.5"). Both are Value-at-Risk-type measures projecting losses over a one-year capital horizon...

Persistent link: https://www.econbiz.de/10014257295

Does the value-at-risk legal framework lead to inaccurate and procyclical risk estimations? : empirical evidence from the eu countries

Vasileiou, Evangelos; Theodoros, Syriopoulos; … - In: The journal of prediction markets 16 (2022) 1, pp. 95-121

Persistent link: https://www.econbiz.de/10014289727

Calibrating the magnitude of the countercyclical capital buffer using market-based stress tests

Oordt, Maarten R. C. van - In: Journal of money, credit and banking : JMCB 55 (2023) 2/3, pp. 465-501

Persistent link: https://www.econbiz.de/10014305980

Optimal loan portfolio under regulatory and internal constraints

Okawara, Makoto; Takahashi, Akihiko - 2023

Persistent link: https://www.econbiz.de/10014266283

Stress Testing Financial Systems : Macro and Micro Stress Tests, Basel Standards and Value-at-Risk as Financial Stability Measures

Taskinsoy, John - 2022

In the post-WWII (since the 1950s), there have been over 400 banking, currency, and sovereign debt crises, which translates to about 10 crises per annum; furthermore, the combined cost of the last five crises since the late 1990s is in excess of $30 trillion, but when the cost of the COVID-19...

Persistent link: https://www.econbiz.de/10013305610

Good risk measures, bad statistical assumptions, ugly risk forecasts

Michaelides, Michael; Poudyal, Niraj - In: The financial review : the official publication of the … 59 (2024) 2, pp. 519-543

Persistent link: https://www.econbiz.de/10014543997

On the aggregation of credit, market and operational risks

Li, Jianping; Zhu, Xiaoqian; Lee, Cheng F.; Wu, Dengsheng; … - In: Review of quantitative finance and accounting 44 (2015) 1, pp. 161-189

Persistent link: https://www.econbiz.de/10011327637

A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default

Eckert, Johanna; Jakob, Kevin; Fischer, Matthias - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 97-119

Persistent link: https://www.econbiz.de/10011566295

Capital allocation in credit portfolios in a multi-period setting : a literature review and practical guidelines

Pfister, Tamara; Utz, Sebastian; Wimmer, Maximilian - In: Review of managerial science 9 (2015) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10010472490

Interaction between financial risk measures and machine learning methods

Gotoh, Jun-ya; Takeda, Akiko; Yamamoto, Rei - In: Computational Management Science : CMS 11 (2014) 4, pp. 365-402

Persistent link: https://www.econbiz.de/10010437153