Model risk is investigated from a commercial banking viewpoint. We firstly analyze model misspecification. Then, the focus shifts towards model sensitivity. Finally, interactions among various models are scrutinized. Our overarching goal is to derive a distribution of indicators for summarizing...

Stress testing has become an important topic in banking practice since the development of the risk management and the enforcement of international supervisory requirements. While, in the context of credit risk, the regulatory perspective is mainly focused on stressing risk parameters, we propose...

In the last few years, according to the evolution of financial markets and the enforcement of international supervisory requirements, an increasing interest has been devoted to risk integration. The original focus on individual risk estimation has been replaced by the growing prominence of...