This paper deals with ruin capital uα,t(c∣λ,μ) in the classical Lundberg model of risk. It is defined as the initial …

effect of competition on pricing. The extended model is designed to be an integral part of a multi-year controlled risk model …

value. The analytical studies of this function in the classical Lundberg model of risk with exponential claim sizes done in … simulation studies. They are focused on the question whether this shape remains similar in Sparre Andersen’s model of risk. …

and their effective mitigation measures and to develop a risk management framework which the international investors …. Almost all mitigation measures have been perceived by the survey respondents as effective. A risk model, named Alien Eyes …' Risk Model, which shows the hierarchical levels of the risks and the influence relationship among the risks, is also …

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to … simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk … macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers …

centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible …, transparent, and user-friendly. The main contributions include (a) increasing the risk-sensitivity of stress testing by capturing … changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi …

determined by stress tests. The main sources of risk lie in the credit risk arising from exposures to Central, Eastern, and … Southeastern Europe (CESE) and the Commonwealth of Independent States (CIS), indirect credit risk from foreign currency lending …, and credit risk from domestic lending. The Austrian banking systems exhibits ample liquidity. In-depth discussions with …