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Academic & Central Bank Papers on the topic of Risk Management

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amazing goddess

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;-

see the comment box below for a reference to a genuinely seminal paper;-

A missing link in the transmission mechanism?

 

 

 

 

 

"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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