Search Results - subject:"ICAAP"

Stochastic optimization system for bank reverse stress testing

Montesi, Giuseppe; Papiro, Giovanni; Fazzini, Massimiliano - In: Journal of Risk and Financial Management 13 (2020) 8, pp. 1-43

The recent evolution of prudential regulation establishes a new requirement for banks and supervisors to perform reverse stress test exercises in their risk assessment processes, aimed at detecting default or near-default scenarios. We propose a reverse stress test methodology based on a...

Persistent link: https://www.econbiz.de/10012611398

Stochastic optimization system for bank reverse stress testing

Montesi, Giuseppe; Papiro, Giovanni; Fazzini, Massimiliano - In: Journal of risk and financial management : JRFM 13 (2020) 8/174, pp. 1-43

Persistent link: https://www.econbiz.de/10012322078

Stressing of migration matrices for IFRS 9 and ICAAP Calculations

Witzany, Jiří - 2020

Persistent link: https://www.econbiz.de/10012225730

Proportionality under Pillar 2 of the Basel framework

Duckwitz, Vincent; Hohl, Stefan; Weissenberg, Katrin; … - 2019

Persistent link: https://www.econbiz.de/10012201786

Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation

Hillebrand, Martin; Böcker, Klaus - 2008

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their interrisk correlation and show how...

Persistent link: https://www.econbiz.de/10010295948

Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements

Gann, Philipp - 2008

abgebildeten Internal Capital Adequacy Assessment Process (ICAAP) sowie den damit zusammenhängenden internationalen sowie … des ICAAP und die ökonomische Notwendigkeit der Implementierung eines AKPM können somit als zwei Seiten einer Medaille …

Persistent link: https://www.econbiz.de/10010427763

Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation

Hillebrand, Martin; Böcker, Klaus - Deutsche Bundesbank - 2008

Persistent link: https://www.econbiz.de/10005082747

Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements

Gann, Philipp - Volkswirtschaftliche Fakultät, … - 2008

Persistent link: https://www.econbiz.de/10005187253

ICAAP Implementation in Austria’s Major Banks

Woschnagg, Elisabeth - In: Financial Stability Report (2008) 16, pp. 96-107

, banks are required to have an Internal Capital Adequacy Assessment Process (ICAAP) in place that enables them to identify …. In addition to this, banks should actively manage their overall risk profile. The ICAAP is essential to the preservation … principle of proportionality, requirements for the ICAAP are in line with banks’ specific characteristics and business models …

Persistent link: https://www.econbiz.de/10005839434

Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements

Gann, Philipp - 2008

Persistent link: https://www.econbiz.de/10010442782