Citation
(2013), "2012 Awards for Excellence", International Journal of Managerial Finance, Vol. 9 No. 1. https://doi.org/10.1108/IJMF.29109aaa.001
Publisher
:Emerald Group Publishing Limited
2012 Awards for Excellence
Article Type: 2012 Awards for Excellence From: International Journal of Managerial Finance, Volume 9, Issue 1.
The following article was selected for this year's Outstanding Paper Award for International Journal of Managerial Finance
“Liquidity risk, credit risk, market risk and bank capital”
Simone Varotto
Purpose – The purpose of this paper is to investigate the relationship between liquidity and credit risk, and employ the findings to estimate the Incremental Risk Charge (IRC), the new credit risk capital add-on introduced by the Basel Committee for banks’ trading books. The IRC estimates are compared with stressed market risk measures, derived from a sample of corporate bond indices encompassing the recent financial crisis. This can determine the extent to which trading book capital would change in stress conditions, under newly proposed rules.
Design/methodology/approach – The Basel II and the proposed Basel III capital requirements for banks’ trading books, with a sample of bond portfolios, are implemented.
Findings – The findings show that, although the (incremental) credit risk in the trading book may be considerable, the capital needed to absorb market risk-related losses in stressed scenarios can be more than ten times larger.
Originality/value – The data, methodology and purpose are all original.
This article originally appeared in Volume 7 Number 2, 2011, International Journal of Managerial Finance
The following articles were selected for this year's Highly Commended Award
“Founder family influence and foreign exchange risk management”
Tom Aabo, Jochen Kuhn and Giovanna Zanotti
This article originally appeared in Volume 7 Number 1, 2011, International Journal of Managerial Finance
“Exchange rate regime shift and price patterns”
Niclas Andrén and Lars Oxelheim
This article originally appeared in Volume 7 Number 2, 2011, International Journal of Managerial Finance