In the period following the global financial crisis high profile regulatory breaches and other instances of banks' misconduct triggered widespread concern that the culture and standards of conduct in banks had declined to a point of unacceptability. The crisis also brought into sharp focus the...

Are foreign banks subjected to adverse selection in a highly integrated banking market? Recent evidence from the European Banking Authority (EBA) given after EU-wide stress testing suggests that they do not. I find that foreign banks seem to be better at managing credit risks, thanks to more...

Objective – The aim of this study to investigate the impact of risk assessment using the risk inherent and quality implementation of quality risk management in the operational activities of banking operations to earnings management practices through loss loan provisions and examine whether the...

This paper is a compilation and expansion of two earlier papers, one on systemic risk and the other on strategic risk management. Part 1 of the paper proposes a definition and assessment methodology for systemic financial risk that was inspired by systems accident research. Sociologist Charles...

This paper is a compilation and expansion of two earlier papers, one on systemic risk and the other on strategic risk management. Part 1 of the paper proposes a definition and assessment methodology for systemic financial risk that was inspired by systems accident research. Sociologist Charles...

Assets and Liabilities Management (ALM) is a dynamic process of planning, organizing, coordinating and controlling the assets and liabilities – their mixes, volumes, maturities, yields and costs in order to achieve a specified Net Interest Income (NII). The NII is the difference between...

Many practitioners annualize VaR just like the standard deviation. We show that this approach is incorrect, and a more sophisticated formula should be used for deriving a periodic VaR from parameters of the daily returns distribution. Another problem addressed here is the distribution of daily...

We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor demand for both left and right-tail risk premia from an indifference curve incorporating tolerance for variance and tail risk. We show that the systematic tail risk factors...

We assess the feasibility, optimality, and policy implications of Environmental, Social, and Corporate Governance (ESG)-linked or “green” lending in a credit market where banks incorporate such non-financial data in credit allocation decisions. We identify an asymmetric information problem:...

Operational risk is being considered as an important risk component for financial institutions as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risl measurement is of paramount concern for the purposes of capital allocation, hedging, and new product...