The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent … generated. The second Monte Carlo simulation is the random draws based on the constant level of risk assumption. It convolutes …

extension risk. Under the new regulatory Basel III framework, CoCo bonds can be categorised as either belonging to the … extension risk into a valuation method for CoCo bonds …

that such regulations distort risk-taking incentives, providing above-threshold firms with greater incentives to take risk … and below-threshold firms the opposite. Risk distortion varies nonlinearly as a function of the distance from the size … threshold, and is increasing in the magnitude of the regulatory costs. We test our model by examining changes in bank risk …

The risk that a financial institution will experience a loss because it did not accurately determine the fair value of … the financial instruments on its balance sheet is known as Valuation Risk (VR). That risk is sometimes heightened because … and risk-awareness in the financial industry. By increasing clarity and transparency around bank risks through increased …

analyse the complete tail risk connectedness network of the whole US industry system. We also investigate the empirical … relationship between input-output linkages and the tail risk spillovers among US industries. Our findings identify the tail-risk … drivers, tail-risk takers, and tail-risk distributors among industries and confirm that the actual trade flow between …

encouraging banks to pursue safer investments in low-risk government securities …

to force banks to develop adequate internal risk management procedures while taking a largely agnostic approach as to … downplay risk, while large financial institutions gain a significant advantage and the distribution of responsibility between …-grained guidance on how banks should evaluate climate risk. Although we broadly think this approach is the more effective route to …

In this study, we examine how banks' stock price crash risk is affected by recourse uncertainty embedded in … securitizations. By recourse uncertainty, we mean the difficulty for equity market participants to assess the true extent of risk … recourse uncertainty is positively associated with the future crash risk of securitizing banks. The result holds after …