Search results for " Risk Management."
showing 10 items of 100 documents
Domain specific simulation language for IT risk assessment
2011
Information technology systems represent the backbone of a company's operational infrastructure. A company's top management typically ensures that computer software and hardware mechanisms are adequate, functional and in adherence with regulatory guidelines and industry practices. Nowadays, due to depressed economic and increased intensity of performed operations, business highly recognizes the influence of effective Information Technology risk management on profitability. Design of Unified Modelling Language (UML) based Domain Specific language (DSL) described in this paper achieves synergy from in IT industry widely used UML modelling technique and the domain specific risk management exte…
Local social services in disaster management: Is there a Nordic model?
2017
Abstract The Nordic states have extensive welfare systems in which the local social services are an important component. Despite a growing research on disaster resilience, we lack research examining in systematic way whether and how local social services in the Nordic countries contribute to resilience. Aiming to fill this gap, this article asks whether we can identify a common Nordic model of the role of local social services in disasters, or whether the countries have taken different paths. We use policy documents and legislation to examine the extent to which roles for local social services are embedded in the disaster management systems of the five Nordic countries. We analyze the insti…
Market risk disclosure in banking: an empirical analysis on four global systemically important European banks
2017
Market risk reporting in banking has assumed such importance during the last decade. The purpose of this paper is to provide a methodology to evaluate the qualitative and quantitative profiles of the market risk disclosure in banking. We propose a hybrid methodology to assess whether or not banks are able to provide a satisfactory degree of information about the market risks they are exposed to. In this paper, we conduct an empirical research of market risk disclosure on a sample of four global systemically important European banks. The paper provides evidences that banks differ in their market risk reporting models, even though they are subject to similar regulatory requirements and accoun…
How to measure bank credit risk disclosure? Testing a new methodological approach based on the content analysis framework
2020
AbstractRisk disclosure is a crucial factor in enhancing the efficiency of financial markets and promoting financial stability. This paper proposes a methodological tool to analyze credit risk disclosure in bank financial reports, based on the content analysis framework. The authors also uses this methodology to carry out an empirical study on a small sample of large Italian banks. The paper provides preliminary empirical evidence that banks differ in their credit risk disclosure, even though they are subject to homogeneous regulatory and accounting requirements. Furthermore, by carrying out a correlation-based network analysis, the paper provides preliminary evidence on the existence of a …
Credit derivatives disclosure in banks’ risk reporting: Empirical evidence from four large European banks
2019
This paper aims to analyze the derivatives disclosure in banks’ annual risk reports. In this paper, the author uses content analysis to examine the qualitative and quantitative profiles of the derivatives disclosure at a cross-country level, with particular reference to credit derivatives. The empirical research is conducted on a sample of large European banks. The paper also shows that there is room to improve various aspects of derivatives disclosure, and provides some useful insights for further research. The derivatives disclosure in banks’ annual risk reports has deep managerial, financial, regulatory and accounting implications at a firm and industry levels, and the comprehension of t…
Forecasting industry sector default rates through dynamic factor models
2008
In this paper we use a reduced-form model for the analysis of portfolio credit risk. For this purpose, we fit a dynamic factor model to a large data set of default rate proxies and macro-variables for Italy. Multiple step ahead density and probability forecasts are obtained by employing both the direct and indirect methods of prediction together with stochastic simulation of the dynamic factor model. We first find that the direct method is the best performer regarding the out-of-sample projection of financial distressful events. In a second stage of the analysis, we find that reducedform portfolio credit risk measures obtained through the dynamic factor model are lower than those correspond…
The Role of Capital and Liquidity in Bank Lending: Are Banks Safer?
2020
The aim of this paper is to examine whether and to what extent bank capital requirements and liquidity standards influence the level of bank stability. Our approach is that both capital and liquidity affect lending growth, which in turn affects bank stability. We construct a panel dataset on a sample of 2,054 commercial banks from 117 developed and developing countries during the 2000–16 period. By applying a two-stage least squares (2SLS) empirical methodology, our findings show that capital and liquidity have a negative direct impact on the level of bank stability. However, this influence is counteracted by an indirect positive effect through the increased level of credit. Our results are…
Operational risk in bank governance and control: How to save capital requirement through a risk transfer strategy. Evidences from a simulated case st…
2015
Operational risk management in banking has assumed such importance during the last decade. It has become increasingly important to measure, manage, and assess the impact of operational risk in the economics of banking. The purpose of this paper is to demonstrate how an effective operational risk management provides mitigating effects on capital-at-risk in banking. The paper provides evidences that an implementation of an operational risk transfer strategy reduces bank capital requirement. The paper adopts the loss distribution approach, the Monte Carlo simulation, and copula methodologies to estimate the regulatory capital and simulate an operational risk transfer strategy in banking.
Democracy, political risks and stock market performance
2015
We study whether the emerging stock markets’ performance is affected by direct and indirect effects of democracy level and political risk. We argue that the relationship between democracy level and the political risk is parabolic instead of a simple linear relation i.e. there exists a limit in democracy after which the political risk begins to decline and this is reflected in stock prices. Using panel data for 38 emerging markets at yearly frequency and controlling for several domestic and international factors, we find a fairly robust evidence that during the period 2000-2010, this relationship is true and after some threshold, the more democratic countries produce higher returns. Similar …
IT Technology Implications Analysis on the Occupational Risk: Cloud Computing Architecture
2014
Abstract The present paper is divided into three major areas: the analysis of occupational risk implications at national and international level, the European priorities in terms of occupational risk and the existing cloud computing services. Since human resource is present within each organization, it is required a comprehensive and actual assessment of the processes in which they participate. Like in any daily activity, processes and people contribute to the emergence of risks. If each organization creates healthy and safe workplaces that means that it contributes to the sustainable development of the area in which it operates. It can be said that occupational risk assessment and occupati…