For the sixth time, international academics and practitioners met for a successful credit risk conference. Keynote … speeches and academic sessions highlighted current developments and necessary improvements in areas such as fintech, regulation …, credit ratings and risk analysis. Digitization also leaves its mark in this area and requires, to varying degrees, a …

at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure …

The development of the Basel III leverage ratio does not consider the different risk characteristics of bank business … models. All banks have to achieve the same requirements even if a high-risk business model is chosen. For that reason …, leverage ratios which are adjusted to the risk-profile of retail, wholesale, and trading banks are developed. Based on Value-at-Risk …

systemic risk. This paper looks at assessment of banking sector resilience through stress testing. We argue such analyses are …

This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and … of credit risk for individual sectors. Based on the analysis, an answer is sought to the question of whether the observed …

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U ….S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk … the public, long-term systemic risk among banks tends to increase. In contrast, a settlement with regulatory authorities …

This paper contributes to the current literature dealing with the drivers of bank business model changes by analyzing … the relationship between fee and commission income share and banks' performance in terms of profitability, risk and risk … enhance banks' performance. Finally, bank business strategy and macroeconomic factors are crucial in the determination of …

, we deal with risk under Basel III banking regulation and provide credit valuation adjustment (CVA) modelling, which is a … impact of counterparty credit risk on bank capital regulatory requirements. We developed six scenarios of different interest … the global over-the-counter (OTC) derivatives markets, where significant counterparty credit risk prevails. In this paper …

for up to 5 years between 2013 and 2017. I identify the main locations of European bank's profits, which include the …