In many standard derivation and presentations of risk measures like the Value-at-Risk or the Expected Shortfall, it is … issue of errors stemming from the internal model estimation process in the context of credit risk, calling for margins of … framework of the Asymptotic Single Risk Factor model that represents the baseline for the derivation of the credit risk measures …

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 …

incentivizing banks to monitor their borrowers. Both bank debt and bank equity have been proposed in various theories as providing … by supply-side effects (i.e., creditor rights make it cheaper to supply bank debt), and conclude that bank equity is a … stronger source of discipline on banks than bank debt …