We show that banks' risk exposure in one asset category affects how they report regulatory risk weights for another … asset category. Specifically, banks report lower credit risk weights for their loan portfolio when they face higher risk … constraints. Our results suggest the existence of incentive spillovers across different risk categories. We relate this behavior …

that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and … probabilities are less exposed to model and estimation risk. In addition, the risk horizon over which the stress default … extensive robustness checks for model-based credit risk stress tests. …

portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …

probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress … testing applications due to short time series for banks' portfolio risk parameters and highly collinear macroeconomic … distributions and implied capital shortfalls by conducting a full-edged top-down credit risk stress test for over 1,500 German banks …

. Furthermore, we find that the first implementation steps lead to the greatest risk-weighted assets reductions, which indicates … that bank risk management improves with a progressing rollout. …

We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the … in securities related to troubled classes have a higher credit risk interconnectedness. Overall, our results suggest that … market-based measures of interdependence can serve well as risk monitoring tools in the absence of disaggregated high …

In this paper, we analyze the impact of banks' non-interest income share on risk in the German banking sector for the … on risk significantly differs depending on banks’ overall business model. More specifically, we show banks with retail …-interest income. Furthermore, they indicate that the impact of non-interest income on risk significantly depends on the activities …

The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost … assessing the capital adequacy. This paper investigates whether decisions on total risk-based capital ratios are channeled … thus advance regulation. -- Risk management ; regulation ; capital requirement ; credit portfolio model ; propensity score …

-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the …