relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …. We define the concept of 'Liquidity at Risk', which quantifies the liquidity resources required for a financial …

Advocates for internal model-based capital regulation argue that this approach will reduce costs and remove distortions … convey to bank shareholders when market and credit risk regulatory capital requirements are set using bank internal model … estimates. These subsidies are not uniform across the risk spectrum, and, as a consequence, internal model regulatory capital …

We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic … quantify mortgage lending risk in two distinct mortgage markets. For each application, we show a range of modeling adjustments … that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk …

system of capital regulation that addresses these needs by making changes to all three pillars of bank regulation: only … common equity should be recognized as capital for regulatory purposes, and risk weighting of assets should be abandoned …