My ideas are following:

1) ex-post or ex-ante measurement

2) direct / indirect

3) probability / severity / exposure (PD/LGD/EAD in credit risk)

4) mean or expected value / dispersion, variance, sd / tail risk, VaR

5) risk of individual element (eg. loan) / risk of total portfolio / contribution to total risk

Blazen, thank you for your comment!

Book recommendations are really helpful. BTW: What do you think of Bessis' "Risk Management in Banking"?

As you noticed, I am looking for a classification of risk measurement not a classification of risk itself. To give more context: I am looking for ways of measuring of systemic risks in banking and operational risks in banking and I thought it would be good to go through analogy. That is why I am looking for various types of risk measurement described by practitioners or academics for risks that are better described.

In the excerpt from the book by Resti and Sironi available online I found some hints of risk measurement classification: income-based measures and equity-based measures. Quite interesting!

INTEREST RATE RISK

Traditional static GAP model (attempt to measure how much interest rate risk a bank takes at a fixed point in time by comparing rate-sensitive assets with rate-sensitive liabilities). Earnings sensitivity analysis (net income simulation under alternative interest rate assumptions). Methodology for analysing the range of possible outcomes from interest rate changes, shifts in balance sheet composition and the exercise of embedded options – promotes understanding of how much risk is assumed.

A key criticism of GAP and earnings sensitivity analysis is that they focus on a bank’s risk profile over the short run and largely ignore cash flows beyond one or two years, even though there may be substantial asset / liability mismatches beyond two years. Duration GAP and economic value of equity sensitivity analysis emphasise the price sensitivity of assets and liabilities to changes in interest rates and the corresponding impact on shareholder value. They incorporate estimates of the durations of assets and liabilities and thus provide a comprehensive measure of interest rate risk.

LIQUIDITY RISK

 Several standards of liquidity management:

 Day to day funding

 Managed by monitoring expected cash flows to ensure requirements can be met.

 Maintenance of a portfolio of highly marketable assets that can easily be liquidated.

 Monitoring, management and control of intra day liquidity.

 Stress-testing of various scenarios

 Going concern basis, liquidity crisis at an individual bank, general market crisis.

 Maturity ladder approach

 Managing market access:

 Diversification of liabilities

 Relationships with liability holders

 Develop presence in asset-sales markets

 Contingency planning:

 Strategy (information flow, clear division of responsibilities)

 Back-up liquidity (previously unused credit facilities, central bank)

CREDIT RISK

 Through credit derivatives main instruments (credit default swaps, credit spread swap etc.). Main applications of credit derivatives:

 Trading credit risk

 Hedging credit risk

 Active portfolio management

 Customizing credit risk

 Creating synthetic exposures and taking credit exposures

 Portfolio of loan diversification

MARKET RISK

 Banks commonly use value-at-risk to measure their exposure to market risk

 Involves determining the largest possible loss that would occur as a result of changes in market prices based on a specified confidence level

 The bank estimates the impact of an adverse scenario on its positions based on the sensitivity of the values of its positions to the scenario

 Using the VAR method, the bank can ensure that it has sufficient capital to cushion against the adverse effects of the scenarios

 How J.P. Morgan assesses market risk

 Uses a 95 percent confidence level to determine the maximum expected one-day loss on its investments and credit instruments due to changes in interest rates, foreign exchange rates, equity prices, and commodity prices.

RISK MANAGEMENT IN GENERAL FOR GLOBAL BANK

 Vertical risk management

 Processes address the relationship between global goals and business decisions.

 Top-down

 Involves dissemination of global guidelines to business units (including capital allocation)

 Bottom-up

 Involves periodic reporting from business units to senior management (performance reports)

 Transversal processes

 Involve horizontal interactions. Three basic horizontal processes:

 Setting up risk-return guidelines and benchmarks

 Risk/return decision making (ex ante perspective)

 Risk/return monitoring (ex post perspective)

 Bank-wide risk management

There is also 'political' risk

Hello, 

try to check these datasets and publications

https://archive.ics.uci.edu/ml/datasets/Qualitative_Bankruptcy

http://sede.neurotech.com.br/PAKDD2010/login.do?method=redirecionar&vs_Pagina=pastcompetitions

https://archive.ics.uci.edu/ml/datasets/Statlog+(German+Credit+Data)

http://azure.microsoft.com/sv-se/documentation/articles/machine-learning-sample-credit-risk-prediction/

Crook, J. and Banasik, J. Forecasting and explaining aggregate consumer credit delinquency behaviour. 2012

Hong Yu, Xiaolei Huang, Xiaorong Hu, and Hengwen Cai. A Comparative Study on Data Mining Algorithms for Individual Credit Risk Evaluation, 2010.

Nazari, Mohsen and Alidadi, Mojtaba. Measuring Credit Risk of Bank Customers Using Artificial Neural Network, 2013

Hope it would help.

I'd encourage you to start with the BIS definition and also look at Marrison book too.

You may take a look at these publications

Article On the use of data filtering techniques for credit risk pred...

Article Business Analytics using Random Forest Trees for Credit Risk...

Article An approach using random forest methodology for disease risk...

Article The Determinants of Credit Risk in Malaysia