Prinzipien gelenkt, wie in Zukunft das Risikomanagement, die interne Banksteuerung und die Bankenaufsicht reformiert und auf die …

Risikomanagement der operationellen Risiken dürfte in Zukunft ein entscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der … bankaufsichtsrechtlichen Vorgaben gemäß Basel II werden sowohl eine Eigenkapitalunterlegung als auch qualitative Vorgaben zum Risikomanagement … dieser Risikoklasse neu eingeführt. Erklärtes Ziel ist es, Anreize für ein verbessertes Risikomanagement zu setzen. Die …

Risk Management in Chinese banks has traditionally been the Cinderella of ist internal functions. Political stricture … and developmental imperative have often overridden standard practice of risk management resulting in large non … development of risk management functions. In recent years NPL ratios have declined through a mixture of recovery, asset management …

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 …

When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally … weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of … exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility …

markets during crisis (limiting contagion on cleared instruments). The post-crisis reforms favored CCPs as risk minimizers … desk research and content analysis, the risks of CCPs were derived.Conclusions / findings: CCPs are not risk minimizers …, but they are risk managers (redistributors). Moreover, due to the significant increase in the their importance for the …

Counterparties (CCPs) in Europe. In addition to discussing their relevance in terms of CCP risk management and their importance for … Portfolio Analysis of Risk (SPAN) and Value at Risk (VaR) models.By leveraging on publicly available data, we provide an up …

The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial positions. For the … special case of a terminal cash flow, we require that risk depends on its conditional distribution only. We prove a … representation theorem for dynamic risk measures and investigate their relation to static risk measures. Two notions of dynamic …