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On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles

Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk (VaR) and expected shortfall. Indeed,...

Persistent link: https://www.econbiz.de/10011867427

Domain knowledge features versus LASSO features in predicting risk of corporate bankruptcy : DEA approach

Mokrišová, Martina; Horváthová, Jarmila - In: Risks : open access journal 11 (2023) 11, pp. 1-18

(DK) approach and Least Absolute Shrinkage and Selection Operator (LASSO). The performance of VRS DEA (Variable Returns to …) curve, AUC (Area Under the Curve) and Somers' D. The results show that the DK+DEA model achieved slightly better AUC and … Somers' D compared to the LASSO+DEA model. On the other hand, the LASSO+DEA model shows a smaller deviation in the number of …

Persistent link: https://www.econbiz.de/10014436563

How efficient are Indian banks in managing the risk-return trade-off? : An empirical analysis

Navas, Jalaludeen; Dhanavanthan, Periyasamy; Lazar, Daniel - In: Risks : open access journal 8 (2020) 4/135, pp. 1-13

the efficiency of Indian banks in generating return relative to the risk they take. If the efficiency measurement is not …

Persistent link: https://www.econbiz.de/10012391731

Scoring models and credit risk : the case of cooperative banks in Poland

Kil, Krzysztof; Ciukaj, Radoslaw; Chrzanowska, Justyna - In: Risks : open access journal 9 (2021) 7, pp. 1-15

The aim of the research presented in the article was to analyse the legitimacy of the use of scoring models in banking activities, together with the assessment of the effectiveness of this tool in reducing the high value of the NPL ratio in Polish cooperative banks on the example of banks...

Persistent link: https://www.econbiz.de/10012599592

Contingent convertible debt : the impact on equity holders

Boursicot, Delphine; Gauthier, Geneviève; … - In: Risks : open access journal 7 (2019) 2/47, pp. 1-35

Contingent Convertible (CoCo) is a hybrid debt issued by banks with a specific feature forcing its conversion to equity in the event of the bank’s financial distress. CoCo carries two major risks: the risk of default, which threatens any type of debt instrument, plus the exclusive risk of...

Persistent link: https://www.econbiz.de/10012019230

Fuzzy non-payment risk management rooted in optimized household consumption units

Izquierdo Llanes, Gregorio - In: Risks : open access journal 13 (2025) 4, pp. 1-13

Traditionally, business risk management models have not taken into consideration household composition for the purposes of credit granting or project financing in order to manage the risk of default. In this research, an improvement in the risk management model was obtained by introducing...

Persistent link: https://www.econbiz.de/10015408410

Credit risk meets random matrices : coping with non-stationary asset correlations

Mühlbacher, Andreas; Guhr, Thomas - In: Risks : open access journal 6 (2018) 2, pp. 1-25

We review recent progress in modeling credit risk for correlated assets. We employ a new interpretation of the Wishart model for random correlation matrices to model non-stationary effects. We then use the Merton model in which default events and losses are derived from the asset values at...

Persistent link: https://www.econbiz.de/10011866403

Using cutting-edge tree-based stochastic models to predict credit risk

Halteh, Khaled; Kumar, Kuldeep; Gepp, Adrian - In: Risks : open access journal 6 (2018) 2, pp. 1-13

Credit risk is a critical issue that affects banks and companies on a global scale. Possessing the ability to accurately predict the level of credit risk has the potential to help the lender and borrower. This is achieved by alleviating the number of loans provided to borrowers with poor...

Persistent link: https://www.econbiz.de/10011867384

The impact of risk management in credit rating agencies

Seetharaman, A.; Sahu, Vikas Kumar; Saravanan, A. S.; … - In: Risks : open access journal 5 (2017) 4, pp. 1-16

An empirical study was conducted to determine the impact of different types of risk on the performance management of credit rating agencies (CRAs). The different types of risks were classified as operational, market, business, financial, and credit. All these five variables were analysed to...

Persistent link: https://www.econbiz.de/10011783056

European Non-Performing Exposures (NPEs) and climate-related risks : country dimensions

Di Febo, Elisa; Angelini, Eliana; Le, Tu D. Q. - In: Risks : open access journal 12 (2024) 8, pp. 1-15

The EU faces two economic challenges: managing non-performing exposures (NPEs) and climate change. This paper analyzes the relationship between the NPEs of domestic banking groups and climate risks, including macroeconomic variables such as the GDP growth rate, unemployment rate (UnEmp), and the...

Persistent link: https://www.econbiz.de/10015065864