This paper analyzes the impact of US firms’ equity risk on bank lending standards and on the macroeconomy for two … groups: small and medium-large firms. The results indicate that a higher level of firm risk leads to a higher percentage of …-large firms. The finding provides support for the Risk Management Hypothesis, under which banks decrease lending to risky …

This paper introduces Basel II, the construction of risk weight functions and their limits in two sections:In the first … loss, Value at Risk, and regulatory capital. Then we discuss the founding principles of the regulatory formula for risk … weight functions and how it works.The latter section is dedicated to studying the different parameters of risk weight …

Hull White approach to Wrong Way Risk in the computation of the Credit Value Adjustment is considered the most …

Using several new datasets, I document the role of legal risk premia in bond yields during the Euro-crisis. I find … local governing law (and otherwise similar characteristics). The results illustrate that legal risk premia spiked at the … foreign law bonds. I show that this governing law premium can be linked to both credit risk (expected haircuts) and …

Understanding how defaults correlate across firms is a persistent concern in risk management. In this paper, we apply … covariate-dependent copula models to assess the dynamic nature of credit risk dependence, which we define as "credit risk … clustering". We also study the driving forces of the credit risk clustering in CEC business group in China. Our empirical …

integration of new datasets and model validation efforts as well as the expanded use of stress-testing methodologies in risk and …

finalized the Basel 3 regulatory regime, which changes the regulatory measure of market risk and adds new complex calculations … based on liquidity and risk factors. This paper is motivated by these changes and seeks to answer the question of how … regulation affects banks' choice of risk-management models, whether it incentivizes them to use correctly specified models, and …

This paper provides three contributions in the context of modeling wrong-way risk (WWR) in counterparty valuation …