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 …

We trace the development of model risk management in U.S. banking against the backdrop of the growing importance of … complex financial models in banks, the recognition of model risk, the emergence of model validation as a response to model … risk, and the contribution of failures in model risk management to the Great Financial Crisis. We recognize that while …

Operational risk is fundamentally different from all other risks taken on by a bank. It is embedded in every activity … varies considerably, operational risk tends to represent about 10-30% of the total risk pie, and has grown rapidly since the … – small changes in the data have dramatic impacts on modeled output – and thus required operational risk capital is unstable …

Liquidity risk in banking has been attributed to transactions deposits and their potential to spark runs or panics. We … show instead that transactions deposits help banks hedge liquidity risk from unused loan commitments. Bank stock …. This deposit-lending risk management synergy becomes more powerful during periods of tight liquidity, when nervous …

Liquidity risk in banking has been attributed to transactions deposits and their potential to spark runs or panics. We … show instead that transactions deposits help banks hedge liquidity risk from unused loan commitments. Bank stock …. This deposit-lending risk management synergy becomes more powerful during periods of tight liquidity, when nervous …

changed the modeling of financial systems, financial risk management in the public and private sector, and the policies … essential reading for researchers, practitioners, and policymakers working on financial risk management and financial regulation. …