In many standard derivation and presentations of risk measures like the Value-at-Risk or the Expected Shortfall, it is … issue of errors stemming from the internal model estimation process in the context of credit risk, calling for margins of … framework of the Asymptotic Single Risk Factor model that represents the baseline for the derivation of the credit risk measures …

investor cash flows and indirectly, by increasing the uncertainty about future distributions and thus banks' equity risk premia …. The impact differed across banks depending on their distribution plans and risk-adjusted profitability. Our analysis …

Committee recommendations, so their experience should be studied and taken into account when building risk-based regulation of … Equity, Risk Costs to Operating Income were tested. The impact of capital adequacy requirements on the performance of second …

regulatory equity and the increasing reliance on banks’ internal risk models for the determination of risk weights. The first … trend has been reversed with the regulatory reforms following the financial crisis. Internal risk models will still play a … central role. The rest of the paper focuses on the problems with the use of internal risk models for regulatory purposes. The …

incentivizing banks to monitor their borrowers. Both bank debt and bank equity have been proposed in various theories as providing … by supply-side effects (i.e., creditor rights make it cheaper to supply bank debt), and conclude that bank equity is a … stronger source of discipline on banks than bank debt …