In many standard derivation and presentations of risk measures like the Value-at-Risk or the Expected Shortfall, it is … issue of errors stemming from the internal model estimation process in the context of credit risk, calling for margins of … framework of the Asymptotic Single Risk Factor model that represents the baseline for the derivation of the credit risk measures …

incentivizing banks to monitor their borrowers. Both bank debt and bank equity have been proposed in various theories as providing … by supply-side effects (i.e., creditor rights make it cheaper to supply bank debt), and conclude that bank equity is a … stronger source of discipline on banks than bank debt …

A parsimonious extension of a well-known portfolio credit-risk model allows us to study a salient stylized fact … - abrupt switches between high- and low-loss phases - from a risk-management perspective. As uncertainty about phase switches … diversified within a phase. Likewise, the risk-management benefits of improving phase-switch forecasts increase with …