This paper proposes an early-warning bank risk measure based on the syndicate concentration of recent syndicated loans …

-movement of world stock exchanges. This study also investigates the relationship between herding and systemic risk, suggesting … that herding increases when systemic risk increases. Granger causality tests and Johansen's vector error-correction model … provide solid empirical evidence of a strong interrelationship between herding and systemic risk, entailing that herding …

has become an essential part of model risk management at financial institutions. The book covers all of the major risk … areas that a financial institution is exposed to and uses models for, including market risk, interest rate risk, retail … credit risk, wholesale credit risk, compliance risk, and investment management. The book discusses current practices and …

Conventional wisdom in banking argues that diversification tends to reduce bank risk and improve performance, but the … recent financial crisis suggests that aggressive diversification strategies may have resulted in increased risk taking and … diversification strategies and the risk-return tradeoff in banking. Our data set covers Russian banks during the 1999-2006 period and …