This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...

Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk assessment method to examine the resilience of the European banking industry regarding transitory climate risks. We illustrate our approach by estimating the impact of a 50-100 EUR...

This paper empirically investigates the impact of internal ratings-based (IRB) approach on the risk weight under Basel II. Assuming increasing cost of raising new capital when the requirement constraint is violated, this paper estimates the difference of unknown risk weight parameters between...

We propose an empirical framework to assess joint and conditional probabilities of credit events from CDS prices observed in the market. Our model is based on a dynamic skewed-t distribution that captures many salient features of CDS data, including skewed and heavy-tailed changes in the price...

Consistent with the theory that human capital management influences organizational performance and risk, we find that employee relations explain the cross-sectional variation in credit risk. We construct an aggregate measure for the quality of employee relations based on the firm's engagement in...

In many standard derivation and presentations of risk measures like the Value-at-Risk or the Expected Shortfall, it is assumed that all the model’s parameters are known. In practice, however, the parameters must be estimated and this introduces an additional source of uncertainty that is...

The statistical techniques which cover the process of modeling and evaluating consumer credit risk have become widely accepted instruments in risk management. In contrast, we find only few and vague statements on how to define the default event, i. e. on the concrete circumstances that lead to...

During the last decade, the increase in computational capacity, the consolidation of new data processing methodologies and the availability of access to new information concerning both individuals and organizations, aided by the widespread internet usage, has increased the development and...

We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the face of decreased correlations between single name CDSs and credit indices. The interest of such hedge comes from the fact that the calculation of the capital charge for CVA risk,...

Risk management is essential part of health of Islamic Bank (IB) and the health of entire financial market. One important tools in risk management to avoid the failure of a bank is the capital held by the bank. Understanding the importance of risk management and capital adequacy, Basel Committee...