1,720,983 research outputs found
La banca digitale: implicazioni e sfide per le funzioni di controllo
No full textL'articolo analizza le implicazioni e le criticità per le funzioni di controllo di una banca (risk management, compliance e auditing) derivanti dalla crescente digitalizzazione dell'attività bancarie e dei canali distributivi. L'articolo non ha natura empirica ma affronta un tema dibattuto anche nell'attività di supervisione sulle banche
Value at Risk and Bank Capital Management. Risk Adjusted Performances, Capital Management and Capital Allocation Decision Making
No full textThe book analyses how Value at Risk models for market, credit, operational and business risk can be used in bank decision making processes such as the definition of risk limits, risk adjusted performance measurement and capital allocation. The first part of the book is devoted to risk measurement while the second part, which is the most peculiar, discusses the applications in decision making processes. The book also highlights the role that the way in which business risk is measured and in which different risks are aggregated at bankwide level may have a relevant impact on the perception that top managers have of the bank's overall riskiness. The book also introduces the distinction between "book capital at risk" and "market capitalization at risk" showing the implications for a bank's target setting among the different divisions and for performance evaluation
Risk-Adjusted Performance Measurement under Model Risk
No full textModel risk, i.e the risk that a model used to evaluate a financial product may prove to be inadequate either to price the product correctly or to model its dynamics as market risk factor change, has been usually studied for its consequences on pricing and hedging of financial instruments. The chapter is devoted instead to point out its consequences on risk-adjusted performance measurement, showing that model risk may potentially lead to overestimating the profitability of business units which are most exposed to model risk. The chapter discusses the potential consequences on capital allocation and the ways in which the effects of model risk may be limited in the profitability reports of the different business units
Principles of Risk Aggregation
No full textThe chapter discusses how to tackle the problems in deriving an overall economic capital estimate aggregating capital at risk estimates for different risks. In particular the chapter analyses the harmonization of different estimates for different risks, the choice among alternative risk aggregation techniques (from simplified top-down approaches to more complex multifactor models), and the issue of parameter estimation
Risk management for asset managers: A test of relative VaR
No full textThe paper tests the accuracy of relative VaR and identifies some crucial methodological issues which are important when backtesting relative VaR models. In particular, while the eprformance for unconditional accuracy of relative VaR methods appears to be satisfactory for simple portfolios even with simlper measurement methods, the assessment of unconditional accuracy is hampered by negative tracking error autocorrelation. The extent of this effect, well known when daily relative returns are used, is shown to be still relevant with weekly data and to decline only on longer time horizon
Prestiti bancari, rating interni e modelli VaR: quale autonomiadi pricing per le unità operative?
No full textIl lavoro passa in rassegna le implicazioni dei moderni modelli VaR per il rischio di credito in termini di pricing e di autonomie operativ
Le implicazioni degli IAS-IFRS per il credit risk management delle banche
No full textNo abstract availabl
Rating interni e controllo del rischio di credito
No full textAnalisi dei sistemi di rating interni e del loro uso nelle banche italian
Credit VaR e sistemi di rating: implicazioni per i limiti di autonomia delle unità operative e per il pricing dei prestiti
No full textIl lavoro analizza le implicazioni dei moderni sistemi di misura del rischio di credito basati sul VaR per le attività di pricing dei prestiti e per l'autonomia delle unità operative di una banc
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