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 …

exposed to credit and interest rate risk and demonstrates how the model can be calibrated empirically. The main features of … macroeconomic risk factors, 3) Principal component analysis helps to reduce the dimensionality of the space of systematic risk … factors, 4) Due to data limitations, the results of reverse stress tests are exposed to considerable model and estimation risk …

Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs …). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to … systematic risk from historical default rates. Our results suggest that systematic risk tends to increase with firm size …

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

real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing …

Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has … measurement: it is particularly interpretable as a special measure of shortfall risk. From that point of view VaR will be extended … shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk …