The recent incremental risk charge addition to the Basel (1996) market risk amend- ment requires banks to estimate, separately, the default and migration risk of their trading portfolios that are exposed to credit risk. The new regulation requires the total regulatory charges for trading books...

The recent incremental risk charge addition to the Basel (1996) market risk amend- ment requires banks to estimate, separately, the default and migration risk of their trading portfolios that are exposed to credit risk. The new regulation requires the total regulatory charges for trading books...

The new impairment reporting standards require banks to move from incurred loss models to sophisticated macroeconomic based expected credit loss models for current impairment estimation. While the impairments estimation is mainly focused on business as usual macroeconomic projections there is a...

The application of credit risk models in Comprehensive Capital Analysis and Review and European Banking Authority mandated regulatory macroeconomic stress testing is of significant concern for banks. The credit models that are used to project stressed losses and impairments under macroeconomic...

With the focus on multi-horizon macroeconomic credit loss projection models in stress testing and impairments it is of interest to understand how different model assumptions can impact the projection under stressed and best estimate economic projections. In this paper we focus on the popular...

With the introduction of expected credit loss based impairment methodology banks stress testing programs need to include forecasts of stressed impairment losses as an important component in the firmwide stress testing programs. The forecasts of stressed impairment losses are comprised of...

The joint stress testing of net interest income interest rate risk and profit and loss from behavioral risks on a multi-horizon scenario path poses great challenges in enterprise stress testing and earnings risk attributions. We propose a framework for granular level stressed net interest income...

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...

Photocatalytic degradation is a promising means to restore the ever-growing pharmacological active compounds (PHACs) contamination in the water environment. Herein, the oxygen vacancies (OVs) modulated Z-scheme CuWO4/CuBi2O4 hybrid systems were fabricated at thermal treatment by in-situ loading...

This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood...