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

The aim of this paper is to present model risk situations and a methodology to measure and quantify the associated risk … at model level, with different types of assumptions. Then, considering that in practice, a model risk management at model … level is hardly feasible, this paper also outlines a method to measure and quantify model risk at risk category level (ex …

We examine pitfalls in the use of return-based measures of systemic risk contributions (SRCs). For both linear and non …'s systematic risk, idiosyncratic risk, size or contagiousness increases the risk of the system but lowers the measured SRC of the … potentially adverse side effects: A change in a bank's risk structure can make the measured SRC of its competitors increase more …

requiring banks to calculate operational risk capital, and disclose qualitative and quantitative information. Using a difference …-in-differences setup featuring partial US implementation relative to full EU adoption, we find that the introduction of operational risk …

Using the test of Granger-causality in tail of Hong et al. (2009), we define and construct Granger-causality tail risk … structure of the Granger-causality tail risk networks to identify periods of distress in financial markets and possible channels … of systemic risk propagation. Combining measures of connectedness of these networks with the ratings of the sovereign …

Purpose – The purpose of this paper is to discuss important aspects concerned with credit risk measurement of SMEs … focused on credit risk assessment of SMEs. Research Findings - Research identifies and discusses five distinctive aspects of … risk assessment practice: choice of models, rating philosophy and time horizon, default definition, determinants of default …

and hence their behaviour can influence the reputational risk of the bank. With very limited research on reputational risk … modelling were used in the statistical analysis. The SEM identified three variables that uniquely influences reputational risk … in banks. Operational risk events, behavioural finance biases and depositors level of risk tolerance were found to …

empirical conclusion is that the PD uncertainty has not a relevant impact on the risk measurement … financial risks have arisen. As a consequence, model risk has been a source of concern for financial regulators. This risk …

building a dynamic stochastic general equilibrium model linked to global climate and a catastrophe risk model specifically for … drawing strong conclusions about the relevance of climate risk, as the model focused only on typhoons’ physical capital …

We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a … role in explaining the severity of cyclical and credit risk materialization during financial cycle contractions. Among …