risk-the risk of loss from adverse movements in financial market rates and prices. In response, bank supervisors in the … resources to address market risk. This paper offers an overview of the new requirements, giving particular attention to their … most innovative feature: a capital charge calculated for each bank using the output of that bank's internal risk …

-first century" as part of session 2, "Credit risk modeling." The conference, held at the Federal Reserve Bank of New York on …

structured derivative product companies (DPCs)--whose special risk management approaches enabled them to obtain triple-A credit …

This article proposes a methodology for measuring value at risk for fat-tailed asset return distributions. Simulation …-based results indicate that this approach provides better estimates of risk than one based on the assumption that asset returns are …