Academic & Central Bank Papers on the topic of Risk Management
Tuesday, 3 March 2009 | 
Risk - Research
This Review should constitute an interesting repository for anyone out there interested in the latest ideas and the best thinking in the risk management space, as selected by me over the last three months. I would recommend each of these as an improtant contribution to the process of improving risk management in banking generally;-
"Assessing Portfolio Credit Risk Changes in a Sample of EU Large and Complex Banking Groups in reaction to MacroEconomic shocks" by Olli Castrén, Trevor Fitzpatrick and Matthias Sydow; European Central Bank (ECB).
http://www.ecb.int/pub/pdf/scpwps/ecbwp1002.pdf
HAZARDOUS TIMES FOR MONETARY POLICY: WHAT DO TWENTY-THREE MILLION BANK LOANS SAY ABOUT THE EFFECTS OF MONETARY POLICY ON CREDIT RISK-TAKING? Gabriel Jiménez, BANCO DE ESPAÑA, Steven Ongena CENTER–TILBURG UNIVERSITY AND CEPR, José Luis Peydró EUROPEAN CENTRAL BANK & Jesús Saurina, BANCO DE ESPAÑA
http://www.bde.es/informes/be/docs/dt0833e.pdf
EAD Calibration for Corporate Credit Lines, Gabriel Jiménez, Banco de España, Jose A. Lopez, Federal Reserve Bank of San Francisco & Jesús Saurina, Banco de España
http://www.frbsf.org/publications/economics/papers/2009/wp09-02bk.pdf
New recipes for estimating default intensities by Alexander Baranovski, Carsten von Lieres and André Wilch (all WestLB AG)
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2009-004.pdf
European Central Bank (ECB) Working Paper - INFINITE-DIMENSIONAL VARS & Factor Models by Alexander Chudik and M. Hashem Pesaran, ECB
http://www.ecb.int/pub/pdf/scpwps/ecbwp998.pdf
A missing link in the transmission mechanism? by Claudio Borio and Haibin Zhu, Bank for International Settlements (BIS)
http://www.bis.org/publ/work268.pdf
Stress testing credit risk: a survey of authorities' approaches, by Antonella Foglia, Banca d’Italia, Banking and Financial Supervision
http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/qf_37/QEF_37.pdf
Stress testing banks'credit risk using mixture vector autoregressive models Prepared by Tom Pak-wing Fong, Research Department, Hong Kong Monetary Authority and Chun-shan Wong, Department of Finance, The Chinese University of Hong Kong
http://www.info.gov.hk/hkma/eng/research/working/pdf/HKMAWP13_08_full.pdf
Supervisory guidance for assessing banks' financial instrument fair value practices through the Pillar 2 supervisory review process, Bank for International Settlements. http://www.bis.org/publ/bcbs145.pdf?noframes=1
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Comments
A missing link in the transmission mechanism?
THIS IS QUITE SIMPLY A CRUCIAL CONTRIBUTION TO THE CURRENT DEBATE ABOUT WHAT WILL QUANTITATIVE FINANCE LOOK LIKE POST CREDIT CRUNCH
A missing link in the transmission mechanism?
by Claudio Borio and Haibin Zhu, Bank for International Settlements
Over the last three decades the financial landscape has gone through radical structural change. As a result of financial liberalisation and innovation, heavily controlled, segmented and "sleepy" domestic financial systems have given way to a lightly regulated, open and vibrant global financial system. The main regulatory constraints that remain are of a prudential nature.
The world that has emerged from this transformation is one where finance naturally plays a bigger role in macroeconomic dynamics. Financing constraints have structurally been eased but have by no means disappeared. The measurement, management and pricing of risk have moved from the periphery to the core of financial activity.
http://www.bis.org/publ/work268.pdf