This paper studies a new risk measure derived from the expected area in red introduced in Loisel (2005). Specifically …, we derive various properties of a risk measure defined as the smallest initial capital needed to ensure that the expected … time-integrated negative part of the risk process on a fixed time interval [0; T] (T can be infinite) is less than a given …

This paper studies a new risk measure derived from the expected area in red introduced in Loisel (2005). Specifically …, we derive various properties of a risk measure defined as the smallest initial capital needed to ensure that the expected … time-integrated negative part of the risk process on a fixed time interval [0,T] (T can be infinite) is less than a given …

This paper studies a new risk measure derived from the expected area in red introduced in Loisel (2005). Specifically …, we derive various properties of a risk measure defined as the smallest initial capital needed to ensure that the expected … time-integrated negative part of the risk process on a fixed time interval [0; T] (T can be infinite) is less than a given …

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 …

The article presents the initial proposal for the group risk measurement based on the comparison of two interconnected … sets of webs. The risk scalar has been presented both for each separated subsidiary as well as for the group itself. It was … shown the risk profile of the group could be aggregated into a single value, and some consequences of that attribute was …

systems. Using novel risk-weighted indexes the paper examines whether the banking systems’ access to credit was related to … that both domestic and international risk factors contributed to the decline in international interbank borrowing during …