Shift to internal models has increased largest EU banks’ risk – Finnish paper
Exposure to market risk of biggest European banks has grown over last 30 years, researchers find
The systemic risk of the largest European banks has actually increased in recent years due to their greater reliance on internal risk modelling, a paper published by the Bank of Finland argues.
In Did the Basel process of capital regulation enhance the resiliency of European banks? Thomas Gehrig and Maria Chiara Iannino use the “SRisk” measurement of systemic risk. This indicator was first developed by Christian Brownlees and Robert Engle in their 2017 paper, and measures banks’ capital
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