and public bailouts.The evidence of a substantial underestimation of the risk related to a general credit spread widening … leads to investigate the reason why risk management systems, in the early stage of the financial crisis, were not able to … financial instruments, a treatment of expected losses that is aligned with the most common methodologies for credit risk …

The 2008 credit crisis came as a complete surprise to most financial practitioners and academics. As risk models had … significant drop in the stock market, lower risk-free interest rates, and a strong increase in credit spreads. Second, the risk … is due to the changing importance of two sources: monetary shocks leading to a positive stock-bond correlation, and risk …

and public bailouts. The evidence of a substantial underestimation of the risk related to a general credit spread widening … leads to investigate the reason why risk management systems, in the early stage of the financial crisis, were not able to … financial instruments, a treatment of expected losses that is aligned with the most common methodologies for credit risk …

assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the … all business lines and event types. In a second phase, our models are used to estimate the effects of operational risk … management actions on bank profitability, through a measure of RAROC adapted to operational risk. The results suggest that …

misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the … Sachs presentation to its Board highlights factors that enhanced the risk of default in 2006-2007. Review of a select sample … associates with an increased risk of default. These disclosures suggest that the risk of default increased step wise beginning in …

We provide an economic valuation of the riskiness of risk models. We estimate the impact of model risks (estimation and … specification) on VaR estimates. We find that integrating the model risk into the VaR computations implies a substantial correction … relies on a backtesting framework, for integrating the global model risk into VaR estimates …

We study the optimal design of clearing systems. We analyze how counterparty risk should be allocated, whether traders … should be fully insured against that risk, and how moral hazard affects the optimal allocation of risk. The main advantage of … centralized clearing, as opposed to no or decentralized clearing, is the mutualization of risk. While mutualization fully insures …

Recent developments in Turkish derivatives markets demonstrate the increasing importance of risk management not only … for individual banks but also for the entire system. In this context, this study analyzes the counterparty credit risk of … banks hold. Thus, the portfolio consists of vanilla swaps, which dominate banks' transactions. By simulating market risk …

This paper investigates and developed credit risk models. Specifically, it focuses on the Merton model, its extensions …

Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III … Accord which use Value-at-Risk (VaR) with scenario analysis as the risk measures for setting capital requirements. We argue a … good external risk measure should be robust with respect to model misspecification and small changes in the data. A new …