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 development for risk mitigation. We perform a comprehensive evaluation …

If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for … conditionally on rating-implied regulatory risk weights. ABS investments of constrained banks tend to perform worse ex post in terms …

Schadenspotential und stellen eine große Herausforderung für das Risikomanagement der Banken dar. Verena Bayer untersucht Ansätze zur …

We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a … role in explaining the severity of cyclical and credit risk materialization during financial cycle contractions. Among …

financial risks have arisen. As a consequence, model risk has been a source of concern for financial regulators. This risk … empirical conclusion is that the PD uncertainty has not a relevant impact on the risk measurement …

year, or one breach expected per thousand years. The capital needed to provide this protection is known as Value at Risk or …

Climate risk is one of the type of risks in a bank's portfolio which is not fully recognized, and its impact on the … future overall risk changes is hidden due to lack of sufficient knowledge at the moment. One of the most common data comes … from Network for Greening the Financial System (NGFS) scenarios related to climate change (physical risk) and climate …