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Speech
Sound capital and risk management: a speech at the OpRisk USA 2006 Conference, New York, New York, March 29, 2006
Bies, Susan Schmidt (2006)
Speech , Paper 184

Journal Article
Current topics: credit risk outlook for 2013 ; municipal bond credit risk management;Bank Secrecy Act/anti-money laundering & office of financial assets control violations
anonymous (2012-10)
The Federal Reserve Bank of Chicago's supervision group follows current and emerging risk trends on an on-going basis. This Risk Perspectives newsletter is designed to highlight a few current risk topics and some potential risk topics on the horizon for the Seventh District and its supervised financial institutions. The newsletter is not intended as an exhaustive list of the current or potential risk topics and should not be relied upon as such. We encourage each of our supervised financial institutions to remain informed about current and potential risks to its institution.
Risk Perspectives , Issue 4th Q

Journal Article
The Gordon Gekko effect: the role of culture in the financial industry
Lo, Andrew W. (2016-08)
Culture is a potent force in shaping individual and group behavior, yet it has received scant attention in the context of financial risk management and the 2007-09 financial crisis. This article presents a brief overview of the role of culture as it is seen by psychologists, sociologists, and economists, and then describes a specific framework for analyzing culture in the context of financial practices and institutions. Using this framework, the author addresses three questions: (1) what is culture? (2) does it matter? and (3) can it be changed? He illustrates the utility of this framework by ...
Economic Policy Review , Issue Aug , Pages 17-42

Conference Paper
Integration of credit risk with market risk in asset liability management
Tsunoda, Fumihiko; Okada, Shumpei; Harada, Eiji (1995)
Proceedings

Conference Paper
Remarks
Kuroda, Iwao (1995)
Proceedings

Journal Article
Bank security prices and market discipline
Kwan, Simon H. (2002)
FRBSF Economic Letter

Journal Article
Introduction and appendix to Behavioral Risk Management in the Financial Services Industry: The Role of Culture, Governance, and Financial Reporting
Mehran, Hamid (2016-08)
This volume, four years in the making, includes nine research papers that aim to identify and understand the key factors affecting governance and culture in the banking industry. The volume is divided into two complementary parts. Part I introduces the concept of culture and its importance to risk management and financial stability. The articles present a framework for diagnosing and changing culture, describe how corporate culture is shaped, explore the importance of effective risk management, and examine the roles of deferred cash compensation and bank cash holdings in promoting financial ...
Economic Policy Review , Issue Aug , Pages 1-2

Working Paper
Implications of alternative operational risk modeling techniques
Rosengren, Eric S.; Jordan, John S.; de Fontnouvelle, Patrick (2004)
Quantification of operational risk has received increased attention with the inclusion of an explicit capital charge for operational risk under the new Basle proposal. The proposal provides significant flexibility for banks to use internal models to estimate their operational risk, and the associated capital needed for unexpected losses. Most banks have used variants of value at risk models that estimate frequency, severity, and loss distributions. This paper examines the empirical regularities in operational loss data. Using loss data from six large internationally active banking ...
Working Papers , Paper 04-9

Working Paper
Bank Risk-Taking and Monetary Policy Transmission: Evidence from China
Xu, Zhiwei; Li, Xiaoming; Peng, Yuchao; Liu, Zheng (2020-08-03)
We present evidence that monetary policy easing reduces bank risk-taking but exacerbates capital misallocation in China after implementing the Basel III capital regulationsin2013. Thenewregulationstightenedbankcapitalrequirementsandintroduced a new risk-weighting approach to calculating the capital adequacy ratio (CAR). To meet tightened capital requirements, a bank can boost its eﬀective CAR by raising capital or by increasing the share of lending to low-risk borrowers. Using conﬁdential loan-level data from a large Chinese commercial bank, merged with ﬁrm-level data on a large set of ...
Working Paper Series , Paper 2020-27

Working Paper
A tale of tails: an empirical analysis of loss distribution models for estimating operational risk capital
Perry, Jason; Dutta, Kabir (2006)
Operational risk is being considered as an important risk component for financial institutions as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risk measurement is of paramount concern for the purposes of capital allocation, hedging, and new product development for risk mitigation. We perform a comprehensive evaluation of commonly used methods and introduce new techniques to measure this risk with respect to various criteria. We find that our newly introduced techniques perform consistently better than the other models we tested.
Working Papers , Paper 06-13

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