This paper presents an integrated risk management methodology for measuring and managing the economics, risks, and financial resources/constraints related to deposits and loans in a commercial bank. Within a comprehensive and integrated framework, we develop valuation and risk models for all...

This article attempts to identify the default risk measure which best reflects the idiosyncratic context of public family firms. Seven accounting- and market-based measures are compared over a sample of 981 US family and non-family firms for the period 2000-2016. The results show that the...

We propose a comprehensive approach for the analysis of real economy and government sector risk transmission to the banking system and apply it in ten Euro-Area countries from 2005 to 2017. A flexible methodology is developed to model banks' assets according to the risk-adjusted balance sheet of...

The purpose of the paper is twofold. First, it aims at identifying when UK and European (France, Germany, Italy and Spain) Credit Default Swaps(CDSs) exhibit explosivity with respect to their past behaviors. Second, it seeks to quantify the dynamics of CDS volatility spillover effects...

We present a statistical test for the long-term calibration in rating systems that can deal with overlapping time windows as required by the guidelines of the European Banking Authority (EBA), which apply to major financial institutions in the European System. In accordance with regulation,...

Data science and machine-learning techniques help banks to optimize enterprise operations, enhance risk analyses and gain competitive advantage. There is a vast amount of research in credit risk, but to our knowledge, none of them uses credit registry as a data source to model the probability of...

With CB data in South Korea, this study examines whether the credit risk of borrowers changes when the regulation on bank mortgage supply is relaxed. We analyze the effect of deregulation on LTV and DTI limits in the Seoul-metropolitan area in August 2014 with a differencein-difference approach....

The Current Expected Credit Loss (CECL) revised accounting standard for credit loss provisioning is the most important change to United States (US) accounting standards in recent history. In this study, we survey and assess practices in the validation of models that support CECL, across...

Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the...