When capital in the banking system becomes depleted, the degree to which financial intermediation and the macroeconomy are adversely affected is likely to depend on the financial and macroeconomic environment. However, existing studies either assume that the effects of bank capital shocks are...

Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level. We develop multi-desk backtests, which...

We propose an improved methodology for modelling potential scenario paths of banks' riskweighted assets, which drive the denominator of capital adequacy ratios. Our approach centres on modelling the internal risk structure of bank portfolios and thus aims to provide more accurate estimations...

Purpose - This paper aims mainly at introducing applied statisticians and econometricians to the current research methodology with non-Euclidean data sets. Specifically, it provides the basis and rationale for statistics in Wasserstein space, where the metric on probability measures is taken as...

As the complexity of banking technology systems increases, the prevention of technological risk becomes an endless battle. Currently, most banks rely on the experience and subjective judgement of experts and employees to allocate resources for technological risk management, which does not...