for individual banks but also for the entire system. In this context, this study analyzes the counterparty credit risk of … banks hold. Thus, the portfolio consists of vanilla swaps, which dominate banks’ transactions. By simulating market risk … market liquidity risk for the OTC instruments in trading portfolios is expected to increase in the near future. …

Determinants of default risk of banks in emerging economies have so far received inadequate attention in the literature … banks have shown significant performance in containing bad debts private banks have continued to be stable in containing the … capital adequacy and investment activity significantly affect the profitability of commercial banks apart from other accepted …

to develop measures of the probability of banks' failure. The Basel 2 framework is based on a Vasicek-model approach. The …

Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk. This … would require studying the risk profile of the banks’ entire credit portfolio and developing the appropriate methodology for … the estimation of default dependence. Measurement and management of correlation risk in the credit portfolio of banks has …