We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit … risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon …

' to account for credit risk mitigation techniques such as ordinary guarantees or credit derivatives. This paper reveals … drop technique can be applied within any structural model of portfolio credit risk. When formulated within the IRB approach …

In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk … using historical data. The incorporation of prediction and estimation risk generally leads to broader loss distributions and … required may be strongly underestimated if prediction and estimation risk are ignored. …

is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss …

with a duration-based POT method, and extreme market risk and extreme value theory. … papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The … papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk …

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at …

This paper discusses the relationship between bank size and risk-taking under Pillar I of the New Basel Capital Accord … pushes them towards higher risk-taking due to fiercer competition. This may even lead to higher aggregate risk in the economy. …

We show that the saddle-point approximation method to quantify the impact of undiversi?ed idiosyncratic risk in a …

Within the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully … diversi?ed away. The impact of undiversi?ed idiosyncratic risk on portfolio Value-at-Risk can be quanti?ed via a granularity … default e?ects. It accounts for guarantees and their e?ect of reducing credit risk in the portfolio. Our general GA very well …