Introduction -- Liquidity and risk -- Liquidity risk regulation -- Liquidity risk management -- Model for the … quantification of structural liquidity risk -- Calculation -- Conclusion -- References. …Structural liquidity risk is a material risk resulting from the core banking business of taking in short-term deposits …

determining risk in the agricultural sector. Drought, heat stress, flood, market volatility among the others, have caused heavy … that have been taken to reduce economic losses for Italian farmers. We also tried to highlight the difference between risk …

Purpose - This paper measures different market risk impacts on options portfolios under the new Fundamental Review of … estimate a portfolio's risk capital and presents an illustration applied to an option position. Second, it proposes a … application is developed to measure expected shortfall (ES) and value at risk (VaR) impacts under FRTB versus conventional VaR in …

of Merton-type models can be used to measure bank risk, and then examine the link between various risk measures and …

the Fundamental Review of the Trading Book. Under the new standards, default risk needs to be measured and capitalized … through a dedicated Default Risk Charge (DRC). While quantitative impact studies are ongoing and banks are preparing for these …-year capital horizon at a 99.9% confidence level. The article discusses selected risk factor models to derive simulation-based loss …

market risks in a bank's trading book. As part of the ruleset, default risk needs to be measured and capitalized through a … dedicated Default Risk Charge (DRC). With the DRC as an extreme tail risk measure at 99.9% confidence level for portfolio … default losses at a one-year horizon, there is inherent model risk associated with the reflection of joint defaults. Wilkens …

risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models … to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the …