This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … the standard risk frameworks in CSF (Gaussian, Single Risk Factor Model; GSRFM), popular among market participants. If … implemented in a ‘static' fashion, GSRFM can substantially underprice risk at times of stress. I introduce a simple ‘dynamic …

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … the standard risk frameworks in CSF (Gaussian, Single Risk Factor Model; GSRFM), popular among market participants. If … implemented in a ‘static' fashion, GSRFM can substantially underprice risk at times of stress. I introduce a simple ‘dynamic …

Many studies have questioned the reliability of banks' calculations of risk-weighted assets (RWA) for prudential … current rules governing banks' risk measurement and capital requirement calculations. This paper emphasises the need for … appropriate metrics to compare banks' riskiness under a risk-sensitive framework (either Basel 2 or Basel 3). The ratio of RWA to …

This paper empirically investigates the impact of internal ratings-based (IRB) approach on the risk weight under Basel … difference of unknown risk weight parameters between IRB and standardised approach, analyzes how Japanese banks adjusted the … amount of risk-weighted assets, and calculates the saved amount of regulatory capital. Furthermore, this paper examines the …

pivotal role played by liquidity risk in the development of the current financial crisis, pointing out the flaws of regulation … we focus on the causes of the emergence of liquidity risk in the ongoing financial crisis. We point out two intertwined …

In measuring its Operational Risk VaR, a bank needs to pay attention when including external data in its internal loss … collection. In principle, these data should be scaled consistently to the specific nature of the bank's risk, but this is not … the banks become correlated, therefore a systemic risk emerges when all banks need to raise capital at the same time to …

Interest rate risk is the exposure of a bank's financial condition to adverse movements in interest rates. Changes in … for assessing a bank's interest rate risk exposure: earnings perspective and economic value perspective. Changes in banks …' competitive environment, products, and services have heightened the importance of prudent interest rate risk management. The paper …

This paper studies the effect of securitization in financial conglomerates on their risk choice, and compares it with … to shift worse loan risk to the deposit insurance by selling their best loans to the affilates. However, such a value … the UK structural reform showing that higher bank capital requirements alone may not offet conglomerate banks' 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. …