The financial services sector, particularly with respect to today's banking industry, is aiming to make a digital transition. Sustainable reporting is a holistic new reporting approach in banking and has only become partially mandatory for the sector. Thus, this paper makes a contribution to the...

Following the three-pillar structure of the Basel II/III framework, the article categorises and surveys 279 academic papers on operational risk in financial institutions, covering the period from 1998 to 2014. In doing so, different lines of both theoretical and empirical directions for research...

We propose a simple but practical methodology for the quantification of correlation risk in the context of credit derivatives pricing and credit valuation adjustment (CVA), where the correlation between rates and credit is often uncertain or unmodelled. We take the rates model to be Hull-White...

The landscape of financial credit risk models is changing rapidly. This study takes a brief look into the future of predictive modelling by considering some factors that influence financial credit risk modelling. The first factor is machine learning. As machine learning expands, it becomes...

We propose a comprehensive approach for the analysis of real economy and government sector risk transmission to the banking system and apply it in ten Euro-Area countries from 2005 to 2017. A flexible methodology is developed to model banks' assets according to the risk-adjusted balance sheet of...

In this study, we consider the construction of through-the-cycle ("TTC") PD models designed for credit underwriting uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements should be emphasized in each case. We build PD models using a long...

Risk management is one of the most important branches of business and finance. Classification models are the most popular and widely used analytical group of data mining approaches that can greatly help financial decision makers and managers to tackle credit risk problems. However, the...

Firm-specific risk causes opinion differences on whether it relates to price informativeness or errors. The main difference is related to the disparity in information transparency. Therefore, this study tests the relationship between accrual management and firm-specific risk based on information...