How can risk of a company be allocated to its divisions and attributed to risk factors? The Euler principle allows for … an economically justified allocation of risk to different divisions. We introduce a method that generalizes the Euler … principle to attribute risk to its driving factors when these factors affect losses in a nonlinear way. The method splits loss …

Purpose: SME sector credit risk has received attention in research from several dimensions of the financial system. SME … current research on the area, we approach SME risk from perspective of FIs own risk assessments and compare it to how SME risk … rating and measurement compares to other counterparties. Design/methodology/approach: We use published risk rating data from …

Climate risk is one of the type of risks in a bank's portfolio which is not fully recognized, and its impact on the … future overall risk changes is hidden due to lack of sufficient knowledge at the moment. One of the most common data comes … from Network for Greening the Financial System (NGFS) scenarios related to climate change (physical risk) and climate …

Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk … default risk of STOXX Europe 600 firms. For about 5% of the sample firms, we find asset devaluation shocks larger than 30% and … stress test on credit risk based on these results, we find a decrease in capital ratios between $$-1.2$$and $$-1 …

This study aims to identify risk management strategies undertaken by the commercial banks of Balochistan, Pakistan, to … mitigate or eliminate credit risk. The findings of the study are significant as commercial banks will understand the … effectiveness of various risk management strategies and may apply them for minimizing credit risk. This explanatory study analyses …

This paper analyzes the impact of US firms’ equity risk on bank lending standards and on the macroeconomy for two … groups: small and medium-large firms. The results indicate that a higher level of firm risk leads to a higher percentage of …-large firms. The finding provides support for the Risk Management Hypothesis, under which banks decrease lending to risky …

This article deals with the issue of managing bank credit risk using a cost risk model. Modeling of bank credit risk … processes and provide high reliability of credit risk determination. The purpose of the article is to improve and develop … methodical support and practical recommendations for reducing the level of risk based on the value-at-risk (VaR) methodology and …

twofold: to define risk-based capital measures able to absorb the effects of financial distress and avoid corporate default … on insolvency risk will be defined by recalling the concepts of Cash Flow-at-Risk and Capital-at-Risk. A first check on … the usefulness of these risk-based measures and their consistency with the principle of value maximization is carried out …

Model risk is investigated from a commercial banking viewpoint. We firstly analyze model misspecification. Then, the … to derive a distribution of indicators for summarizing the impact of model risk on synthetic measures like bank …

In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of a default risk measure …, which generalizes the classical probability of default (PD), and allows to incorporate model risk in various forms. We … discuss different properties and representations of default risk measures via monetary risk measures, families of related tail …