Journal of Risk Finance: Volume 16 Issue 5

Bad assets options and bank resolution in Europe: Lessons learned in and after the 2008 financial crisis

Karsten Paetzmann

This paper analyzes the new EU Bank Recovery and Resolution Directive (BRRD) to determine the level of guidance on instruments to wind-down bad asset portfolios of asset…

The value relevance of “too-big-to-fail” guarantees: Evidence from the 2008-2009 banking crisis

Armin Varmaz, Christian Fieberg, Jörg Prokop

This paper aims to analyze the impact of conjectural “too-big-to-fail” (TBTF) guarantees on big and small US financial institutions’ stock prices during the 2008-2009 banking…

Operational risk capital charges (Basel II): factoring in external loss data to the internal datasets

Lukasz Prorokowski

This paper aims to discuss ideas of factoring in external loss data to the internal loss data sets to obtain a true picture of operational losses for non-bank financial services…

Does R & D create or resolve uncertainty?

George Blazenko, Wing Him Yeung

This paper aims to investigate two related questions on business research and development (R & D) simultaneously. First, does R & D create or resolve uncertainty…

Macro stress test for credit risk

Masayasu Kanno

The purpose of this study is to analyze the benchmark model and offer a practical implementation of the macro stress test. The emergence of complicated instruments such as…