-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the …

Stress testing has recently become a critical risk management and capital planning tool for large financial … requirements was a spectacular failure: the Office of Federal Housing Enterprise Oversight's (OFHEO) risk-based capital stress test …

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 …

Under the new Basel II regulatory framework, the need for an effective risk-adjusted pricing mechanism has become even … more central in banking than in the past: banks are spurred to develop risk-adjusted measures, to avoid wasteful customers … Internal Ratings-Based approach affects the bank loan pricing mechanism, by developing a multiperiod risk-adjusted pricing …

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 …

same time, it has complicated banking regulations and its consequent risk management mechanisms. The GFC and consequent … Basel III have accentuated the importance of operational risk management manifold by adding new perspectives to the concept … which was not identified properly under sophisticated and graded risk assessment processes in the years before the financial …

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 …

of banks' sovereign risk exposures. We test the idea that a mandatory one-time disclosure induces an increase in … voluntary disclosures about sovereign risk in the following periods and, through the shift in the voluntary disclosure … disclosure events helps explain the levels of stress test banks' voluntary disclosures about sovereign risk. Second, although the …

Identifying the relevant risk factors and their interdependence is central to understanding the risk exposures and … vulnerabilities of a financial institution. It is needed for risk management, solvency assessment and stress testing. We assemble a … unique dataset of risk factors relevant for insurers which are different than for banks, although they share exposure to …