This paper assesses in detail the status of operational risk management in the Indian banking system in the context of … Basel II. The expected coverage of banking assets and the approach adopted for operational risk capital computation is … as significant impediments in the implementation of operational risk management framework in banks in India. The survey …

Operational risk is being considered as an important risk component for financial institutions as evinced by the large … sums of capital that are allocated to mitigate this risk. Therefore, risl measurement is of paramount concern for the … purposes of capital allocation, hedging, and new product development for risk mitigation. We perform a comprehensive evaluation …

assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the … all business lines and event types. In a second phase, our models are used to estimate the effects of operational risk … management actions on bank profitability, through a measure of RAROC adapted to operational risk. The results suggest that …

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 …

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 …

' internal models, and a less risk-sensitive standardised approach. Using a unique dataset covering 7 million UK mortgages for … lenders to specialise. This leads to systemic concentration of high-risk mortgages in lenders with less sophisticated risk …

We show that banks' risk exposure in one asset category affects how they report regulatory risk weights for another … asset category. Specifically, banks report lower credit risk weights for their loan portfolio when they face higher risk … constraints. Our results suggest the existence of incentive spillovers across different risk categories. We relate this behavior …

conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk … sample selection bias, we show that CoCo bonds issuance has a strong positive e↵ect on risk-taking behaviour, particularly … amplifies the impact of CoCo bonds on risk-taking. …

A bank's liquidity risk lays in the intersection of funding risk and market liquidity risk. We offer a mathematical … quantification of a bank's illiquidity at balance sheet level. This leads to the concept of liquidity-adjusted risk measures defined … on the vector space of asset and liability pairs. We show that convexity and positive super-homogeneity of risk measures …

operating risk may behave as if they were more risk averse in investment decisions. Specifically, we study how operating risk … from underwriting insurance policies affects insurers' risk taking behavior in their portfolio investments. We find that … risk -- they have lower credit risk exposure in their bond investments, as well as lower portfolio weights on risky bonds …