household leverage and lending in flood zones can exacerbate the risk that lenders face from extreme weather events. Our … analysis also shows that other disaster-related risk channels may increase risk to lenders. These channels include climate … portfolios of some federally and provincially regulated FIs. We use current and projected flood events under different climate …

price, the equilibrium risk-free rate, and risk premia. Climate disasters, which are more likely to occur sooner as … temperature rises, significantly increase risk premia. …

In this paper, we develop a methodology to model the risk of losses resulting from a natural disaster in which the … observed risk premiums to assess the financial costs for the government if it had issued such instruments to hedge risk linked …

loan portfolio concentration on banks' return and risk of 47 Indonesian conventional banks over the 2010-2014. We also take … conventional banks' risk. We also find that loan portfolio concentration based on different types of bank ownership and foreign … banks' mode of entry does not affect bank's risk. These findings imply that loan portfolio concentration seems to reduce …

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

The ongoing debate concerning credit concentration risk is mainly driven by the requirements on credit risk management … due to Pillar 2 of Basel II since risks (e.g. concentration risk) that are not fully captured by Pillar 1 should be … adequately considered in the banks' risk management. This instruction is indeed relevant since quantifying credit portfolio risk …

Keeping in view that the roles of portfolio risk and the relationship between different risky lending assets in loan … valuation have not been studied empirically, this study examines the relationship between undiversiable portfolio risk and … portfolio lending with an attempt to fill the gap between the concept of portfolio risk diversification and the practice of …

empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of … all borrowers. The results of the test supported the hypothesis of portfolio risk pricing and suggest that the spread of … loan required that the spread of loan required by risk-averse lenders is in general higher than the risk premium of the …