There are many different approaches to the process of stress testing and two of them will be investigated in this paper. The first one is a stress test performed on aggregated data i.e. the banking system as a whole. The variable of interest in both exercises is the Loan Loss Provision ratio...

This paper illustrates how modelling the contagion effect among assets of a given bond portfolio changes the risk perception associated to it. This empirical work is developed in a hybrid credit risk framework that incorporates recovery rate risk. Dependence structures among firms and between...

A challenge in enterprise risk measurement for diversified financial institutions is developing a coherent approach to aggregating different risk types. This has been motivated by rapid financial innovation, developments in supervisory standards (Basel 2) and recent financial turmoil. The main...

Credit risk is defined as that risk of financial loss caused by failure by the counterparty. According to statistics, for financial institutions, credit risk is much important than market risk, reduced diversification of the credit risk is the main cause of bank failures. Just recently, the...

No organisation is immune to risk. Moreover, each organisation’s risks change constantly. Every organisation must learn to anticipate and prevent risk by identifying, measures, and controlling business. In this article we will show that banking risk management is an ever-changing process...

Credit risk is one of the most important aspects that need to be considered by financial institutions involved in credit-granting. It is defined as the risk of loss that arises from a borrower who does not make payments as promised. For modelling credit risk there are two main approaches: the...

The article presents a study which aims to analyze the role of credit risk in banking industry. Nowadays the credit risk is still the most important risk in banking. In recent years, many banks have built new businesses – in particular trading operations and services – that generate fees and...

The market economy refers to the implicit presence of a banking system which could ensure the mobilization of all the monetary resources of the respective economy and their temporary orientation towards the development of efficient economic activities. The financial risks originate in the...

Credit market is in a continuous and complex process of adaptation of offered products and services, duet o the competition between banks, competition generated also by the globalization effects of economic activities. In these terms, the banks are obligated to consolidate their position on the...

The commercial banks main operation is the granting of credits that occupies the first place among the total investments. Any bank assumes risks to a certain extent when granting credits and certainly all the banks generally incur losses when some debtors fail to comply with their obligations....