We investigate the valuation risk affecting financial instruments classified as L2 and L3 for accounting purposes …, opacity), and argue that the risk they pose might also be comparable …

Motivated by the variety of bank risk proxies, our analysis reveals that nonperforming assets are a well …-suited complement to the Z-score in studies of bank risk. …

This paper investigates the relationship between the two major sources of bank default risk: liquidity risk and credit … risk. We use a sample of virtually all U.S. commercial banks during the period 1998 to 2010 to analyze the relationship … between these two risk sources on the bank institutional-level and how this relationship influences banks' probabilities of …

This paper presents a new method to validate risk models: the Risk Map. This method jointly accounts for the number and … the magnitude of extreme losses and graphically summarizes all information about the performance of a risk model. It … relies on the concept of a super exception, which is defined as a situation in which the loss exceeds both the standard Value-at-Risk …

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and … probabilities are less exposed to model and estimation risk. In addition, the risk horizon over which the stress default … extensive robustness checks for model-based credit risk stress tests. …

This study explores whether and how bank characteristics affect general risk-taking and tail risk of Too … contagion risk to the real economy. Regulations designed to limit tail risk, such as raising core capital, do not lower banks …’ general risk-taking, especially for TBTF banks. Furthermore, after the Global Financial Crisis, tail risk becomes more …

Stress testing has become a tool of choice in banking for risk managers and regulators alike, and it is used more … widely as a way to assess resilience to severely adverse events. Yet even the most creative risk manager would have been …

Purpose: Basel III regulations require banks to protect themselves against strategic risk. This paper provides a … comprehensive and measurable definition of this risk and proposes a framework to estimate economic capital requirements … strategic risk. The paper postulates that the economic capital for a bank's strategic risk should be estimated using the cost of …

embraced a different primary measure of market risk in global banking regulation: traditional value-at-risk (VaR), stressed VaR … model and estimation risk to VaR's failure to perform under extreme economic stress and VaR's failure to satisfy the … theoretical constraints on “coherent” measurements of risk. Part III describes how to calculate expected shortfall as an extension …

beschrieben. Schwerpunkte der Darstellung sind die Kapitalanforderungen gegenüber dem operationellen Risiko, das aufsichtliche … beschrieben. Schwerpunkte der Darstellung sind die Kapitalanforderungen gegenüber dem operationellen Risiko, das aufsichtliche …