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In this paper we suggest a new approach to risk assessment for banks. Rather than looking at them individually we try to undertake an analysis at the level of the banking system. Such a perspective is necessary because the complicated network of mutual credit obligations can make the actual risk...
Persistent link: https://www.econbiz.de/10005273256
In portfolio and risk management, estimating and forecasting the volatilities and correlations of asset returns plays an important role. Recently, interest in the estimation of the covariance matrix of large dimensional portfolios has increased. Using a portfolio of 63 assets covering stocks,...
Persistent link: https://www.econbiz.de/10005549485
Although risk management approaches appeared more than one decade ago, there is the evidence of low penetration rate of their techniques in software projects. One of the most known methods is the SEI Software Continuous Risk Management (SEI-CRM) method. This paper addresses the usage of the...
Persistent link: https://www.econbiz.de/10005549597
The purpose of this article is to assess how the changing operations of international banks in emerging countries in the last decades have altered the risks they face as well as their mitigation techniques. The recent expansion of the international banking business through the setup of branches...
Persistent link: https://www.econbiz.de/10005556585
Distributions for returns are used to compute the capital charge for portfolios in investment banks. The mainstream definition of returns is based on closing prices and neglects the important effects of intraday trading activity on the losses . In this paper we introduce ''minimal returns'', a...
Persistent link: https://www.econbiz.de/10005561067
Recent developments have sparked a renewed interest concerning risk related topics in nonfinancial companies. Risk management issues directly touch the domain of management accounting and control. In Germany, topics related to the support of corporate or enterprise risk management are commonly...
Persistent link: https://www.econbiz.de/10005623273
Romanian banking system has known in the last years significant changes determined by the implementation of Basel II requirements and governance principles on one hand and assimilation of the EU Directives for the banking sector on the other hand. The function of internal audit is new in the...
Persistent link: https://www.econbiz.de/10005626504
We criticize the popular view that separately calculating regulatory capital for market and credit risk yields a conservative aggregate risk assessment. We show that this view depends on a flawed intuition about diversification effects that arise between subportfolios. If a bank’s portfolio...
Persistent link: https://www.econbiz.de/10005627514
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10005627576
We give a precise operational definition to three requirements the Basel Committee on Banking Supervision specifies for stress tests: Plausibility and severity of stress scenarios as well as suggestiveness of risk reducing actions. The basic idea of our approach is to define a suitable region of...
Persistent link: https://www.econbiz.de/10005627578