Operational risk management in banking has assumed such importance during the last decades. It has become increasingly … important to measure, manage, and assess the impact of operational risk in the economics of banking. The paper aims to … demonstrate how an effective operational risk management provides mitigating effects on Capital-at-Risk in banking. The paper …

-siders the standard risk management measure Value-at-Risk (“VaR”). We apply the theory of local martingales, present a styled … that asset price bubbles result in materially inflated VaR measures. The implication of this finding for portfolio and risk … these asset types. We also measure the model risk arising from mispecifying the process driving cryptocurrencies by ignoring …

-siders the standard risk management measure Value-at-Risk (“VaR”). We apply the theory of local martingales, present a styled … that asset price bubbles result in materially inflated VaR measures. The implication of this finding for portfolio and risk … these asset types. We also measure the model risk arising from mispecifying the process driving cryptocurrencies by ignoring …

This technical note describes the Forward-Looking Analysis of Risk Events (FLARE) model, which is a top-down model that …

When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally … weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of … exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility …

Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk … default risk of STOXX Europe 600 firms. For about 5% of the sample firms, we find asset devaluation shocks larger than 30% and … stress test on credit risk based on these results, we find a decrease in capital ratios between $$-1.2$$and $$-1 …

objective of the reform, which is to enhance financial stability and reduce systemic risk. We show that, rather than eliminating … counterparty risk, central clearing transforms it into liquidity risk: margin calls transform accounting losses into realised … should account for this liquidity risk in a realistic manner, especially for large positions. While recent discussions have …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the … periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However … the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and …

Over-the-counter (OTC) derivatives played an important role in the build-up of systemic risk in financial markets ….e., model risk) for non-financial operators that could pose a risk to the financial system. These, and similar inconsistencies …

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …