As you are aware, the year 2008 has started off with the continuation of some of the challenges that resulted in significant disturbances in world financial markets: the impact of the sub prime market turmoil which originated in the US is still spreading across Europe and other financial markets; the Northern Rock crisis in the U.K. has raised serious regulatory issues; and the large frauds in ...

made significant efforts to establish and improve their procedures for interest rate risk management, including using economic models of interest rates and related models of credit risk (Lopez 2001a, b).At the same time, bank supervisors worldwide, including the Federal Reserve, have been expanding their knowledge and oversight of interest rate risk management techniques. For example, U.S. bank...

unreliability of financial statements in iran has urged this country’s financial services industry management to manipulate practices by which they could gain reliable risk scores for borrowers. this research extracts the most influential qualitative factors that would impact the default of a business relationship borrower. solicitation of the factors is done through delphi methodology. the mea...

Quantitative Risk Management (QRM) standardly concerns a vector of one-period profit-and-loss random variables X = (X1, . . . ,Xd) defined on some probability space (Ω ,F,P). Risk Aggregation concerns the study of the aggregate financial position Ψ (X), for some measurable function Ψ : Rd → R. Under the terms of the New Basel Capital Accord (Basel II), internationally active banks are required ...

This paper presents a brief overview of developments currently taking place in the Australian banking sector relating to the measurement and management of credit risk. Section I provides, as background, a sketch of the structure of banking in Australia. Section II considers some of the forces operating within the Australian banking and financial system to increase the significance of credit and...

Following the Banking Committee on Banking Supervision, operational risk quantification is based on the Basel matrix which enables sorting incidents. In this paper we analyze these incidents in depth and propose strategies for carrying out the supervisory guidelines proposed by the regulators. The objectives are as follows: • On the first hand, banks need to provide a univariate capital charge ...