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 usually...

Building on previous research, we study banks' balance sheet year‐end patterns in the European Union (EU) to assess the impact on supervisory measures of their systemic importance. We find that some global systemically important banks (G‐SIBs) in the EU compress their balance sheet at...

Amidst increased attention on climate change, which is characterised by high uncertainties and long‐term time horizons, the financial sector and supervisors are developing methods and approaches for the evaluation of climate‐related financial risks. This paper proposes a transition capacity...

EU legislators mandated the European Banking Authority to propose a stress scenario methodology for capitalising non-modellable risk factors (NMRF) as foreseen under the Basel Fundamental Review of the Trading Book (FRTB) rules for market risk. In this paper, we present the foundations of such a...

Bank stability is an important aspect of financial stability, especially in bank-centric systems like that of Montenegro. Hence, it is important to analyse risks affecting stability of both the banking and financial system as a whole. Rising competition among banks could pose a challenge and...

This research aims to investigate the influence of bank capital, risk-based capital and bank capital buffers on the behaviour of bank risk-taking by applying GMM on the data of US commercial banks ranges from 2002 to 2018. The findings show that bank capital has a positive influence on total...

The paper analyses the relationship between the banks' credit risk and macroeconomic conditions by addressing the following questions; (i) How are macroeconomic shocks transmitted to lending risk depending on the ban-specific features? (ii) Are the effects of macroeconomic shocks different...

Financial stability is an important part of the Central Bank of Jordan (CBJ) role in parallel with maintenance of monetary stability. The impact of the global financial crises from 2007-2009 and the economic slowdown has left the Jordanian banking sector in a generally weaker position than...

The aim of this paper is to investigate the determinants of the movement of non-performing loans in the banking sector of Bosnia and Herzegovina, as well as the impact of the COVID-19 pandemic on them. For this purpose, secondary data from the banking sector of BiH were used, over which a...

Artificial intelligence and machine learning have increasing influence on the financial sector, but also on economy as a whole. The impact of artificial intelligence and machine learning on banking risk management has become particularly interesting after the global financial crisis. The...