[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th … February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules …, due to be launched in March by the Basel Committee on Banking Supervision, will consider ditching value-at-risk as the …

relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …. We define the concept of 'Liquidity at Risk', which quantifies the liquidity resources required for a financial …

The interaction of capital and risk for trading and treasury units is of primary interest in the corporate governance … of banks as it links operational profitability and strategic risk management. During the financial crisis, several banks …' trading units suffered significantly higher losses than their risk capital charged based on value-at-risk constraints. There …

collection threshold in operational risk modeling. For fitting the loss severity distribution, several approaches have been … objective of this paper is to understand the impact of model uncertainty on the value-at-risk (VaR) estimators. To accomplish … that, we take the bank's perspective and study a single risk. Under this simplified scenario we can solve the problem …

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 …

The Financial Risk Meter (FRM) is an established mechanism that, based on conditional Value at Risk (VaR) ideas, yields … insight into the dynamics of network risk. Originally, the FRM has been composed via Lasso based quantile regression, but we … coherent and multivariate tail risk indicator conditional expectile-based VaR (CoEVaR) can be derived, which is sensitive to …

apply to the United Kingdom. We identify 29 indicators of financial stability risk, drawing from the literature on early …

risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been … Crises ; Macroprudential Risk ; Debt-Deflation Process ; Ponzi Finance …

credit risk management. Particularly, analysis of multidimensional credit risk models is continued from the previous …

relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …. We define the concept of ‘Liquidity at Risk', which quantifies the liquidity resources required for a financial …