We present a model where bank assets are a portfolio of risky debt claims and analyze stockholders' risk … increases, risk shifting by borrowers increases, even if their leverage is unchanged (zombie lending). (2) While the literature … increase prevails through a second channel: an increase in risk shifting. (3) Risk shifting decreases with the diversification …

excessive risk-taking. The bank's manager can enhance short term profits by either exerting effort or taking on excessive risk …, which increases the bank's exposure to tail risk. Without capital requirements, shareholders induce the manager to undertake … excessive risk when the bank is undercapitalised and the regulator grants forbearance ex-post. The socially optimal regulation …

-modellable risk factors (NMRF) as foreseen under the Basel Fundamental Review of the Trading Book (FRTB) rules for market risk. In … this paper, we present the foundations of such a methodology. By design, it is universally applicable to all kinds of risk … universe of real historical returns from all asset classes. Finally, we extend the methodology from single risk factors to …

This paper analyzes banks' capital and risk-based capital (RBC) ratios as predictors of risk. Using quarterly data on U … market-based indicators of risk. Although both the capital and RBC ratios are statistically significant predictors of BHCs …' levels of risk, we find the capital ratio is a statistically significantly better predictor of risk than the RBC ratio. This …

Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In …. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by adjusting … adequacy of Value at Risk measures. One main finding indicates that backtests of all classes show heavy size distortions. These …

Risk measurement and pricing of financial positions are based on modeling assumptions, which are common assumptions on … model risk by considering a model space. First, we incorporate model risk into market risk measures by introducing model … weighted and superposed market risk measures. Second, we quantify model risk itself and propose axioms for model risk measures …

We propose a new approach that reconciles traditional working capital management with risk management principles. By … extending the traditional working capital approach, we develop a risk-adjusted working capital model. We examine the … regression, we find mixed evidence supportive of the risk-adjusted working capital model. Sectoral analysis reveals heterogeneous …

This research looks into the impact of risk management on CIMB Bank's performance. This study's data originates from … oxidised by ROA and ROE, and risk management, which is oxidised by operational risk, credit risk, and liquidity risk, are the … results demonstrated that operational risk, credit risk, and liquidity risk all had a substantial influence on ROE. However …

risk; if such regulation also reduces systemic risk, the benefits are even larger. September 27, 2018, revised January 23 …

borrowing that comes under laissez-faire. Effective regulation is beneficial even without considering systemic risk; if such … regulation also reduces systemic risk, the benefits are even larger. …