Macro prudential regulation requires a rigorous process for calculating bank capital charges based on their systemic risk. Using data from the largest global financial institutions we document the existence of extreme event dependence between banks during the recent financial crisis....

A challenge in enterprise risk measurement for diversified financial institutions is developing a coherent approach to aggregating different risk types. This has been motivated by rapid financial innovation, developments in supervisory standards (Basel 2) and recent financial turmoil. The main...

We describe a method to improve credit portfolio models based on the Merton model by adding to the underlying distributions forward-looking tails deducted through the Bayesian Networks technology. Given the forward-looking stance of the approach, its results give a better quanti ed picture of...

This paper is motivated by the implementation of the new banking supervision structure in the European Union (EU) and the possible conflict of interest between monetary policy and the supervision authority within the European Central Bank (ECB). The empirical analysis considers the relationship...

This paper considers the economic implications of supporting ``prime" money market funds with capital buffers. The main findings are twofold. First, relatively small capital buffers are capable of absorbing daily fluctuations between a fund's shadow price and its amortized cost. The ability to...

Among operational risk practitioners there is some confusion about the implications of the loss data collection threshold and the estimation of "truncated" or "shifted" distributions. Claims that "shifted" models result in biased parameter estimates rely on the premise that the "true" model is...

In March 2012 a conference, organised jointly by the ICFR and SUERF, on "Future Risks and Fragilities for Financial Stability", explored what the next pressure points for financial stability might be, how these may arise from the response to the last financial crisis, and how the industry and...

In this paper we present an analytical review of the capital adequacy regime and the present state of capital to risk-weighted asset ratio (CRAR) of the banking sector in India. In the current regime of Basel I, Indian banking system is performing reasonably well, with an average CRAR of about...

The Basel III capital accord of 2010 is subject to further evaluation and revisions. The industry refers to these changes as “Basel IV” in view of the expected significant impact that the further proposals of the Basel Committee may have. The Committee itself considers the various proposals...

The aim of this study is to examine the contribution of the Basel III requirements in reducing bank failure risk through three different measures: the new long-term liquidity ratio (Net Stable Funding Ratio: NSFR), the Leverage ratio and the capital Tier One ratio. We use data on U.S. commercial...