Operational Risk and Regulatory Capital: Do Public and Private Banks Differ?
“The study demonstrates the capability of certain public sector banks to bear operational risk on a particular level of regulatory...
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- 8 août
How Do Financial Crises Redistribute Risk?
Examining the Great Depression, we use novel methods and data to show that despite 9,000 #bank closures, #risk increased instead of...
- 26 juil.
Distrust Spillover on Banks: The Impact of Financial Advisory Misconduct
Local communities exposed to #fraudulent #investmentadvisory firms tend to withdraw deposits from their affiliated #banks, even though...
- 29 juin
The Informational Impact of Prudential Regulations
"#banks take costly actions (such as higher #capitalization, #liquidity holding, and advanced #riskmanagement) to avoid financial...
- 26 juin
Machine Learning and IRB Capital Requirements: Advantages, Risks, and Recommendations
This paper examines the use of #machinelearning methods in the context of #banks' #capitalrequirements, specifically the internal Ratings...
- 13 juin
Application of Deep Reinforcement Learning in Asset Liability Management
This paper introduces the application of Deep Reinforcement Learning (#drl) in #alm, addressing limitations of traditional methods...
- 8 juin
Climate Risk Contagion of U.S. Banks
"We examine the impact of the U.S. withdrawal from the #parisagreement on the relationship between #climaterisk and #systemicrisk of #us...
- 22 mai
Banking on Snow: Bank Capital, Risk, and Employment
Well-capitalized #banks play a crucial role in supporting economic adaptation to #weather-induced #labor #productivity #risk. LIRE
- 10 mai
On the State of Anti-Money Laundering
This paper discusses the efficiency, effectiveness, and costs of #denmark's #antimoneylaundering (#aml) #compliance standards. Although...
- 5 mai
What are Large Global Banks Doing About Climate Change?
"From a #riskmanagement perspective, it is challenging to #model physical and #transitionrisks given the #uncertainty around #climaterisk...
- 13 avr.
Exploring the Determinants of Capital Adequacy in Bangladesh's Commercial Banks
This study investigates the factors affecting the #capitaladequacy of commercial #banks in #bangladesh using panel data from 28 banks...
- 5 avr.
Do Board Characteristics Matter for Bank Performance and Risk-Taking? Evidence from European Banks
"#banks that did well in the #gfc also did well in the #pandemic while banks that did poorly during the GFC also did poorly during the...
- 31 mars
Are Svb and Signature Bank Canaries in a Coalmine or is Something Else Going on?
"This article discusses the recent bank failures of #svb and #signaturebank and analyzes the balance sheets of these banks to determine...
- 29 mars
Climate Risk and Canadian Banks: Is More Capital Required?
It highlights the increasing #regulatory focus on #climaterisk faced by #canada's #banks, both domestically through the #osfi and...
- 10 mars
Market Discipline and EU Corporate Governance Reform in the Banking Sector
"... this paper argues that recent #eu#regulatory reform to #corporategovernance, as a means to improve #financialstability is a...
- 9 mars
Quantifying Systemic Risk in the Presence of Unlisted Banks
This paper proposes a #credit#portfolio approach for evaluating #systemicrisk and attributing it across #financialinstitutions. The...
- 14 févr.
Risk Aggregation, Tail Risk, Correlation: Capital Allocation Efficiency and Regulator...
"... model uncertainty is a vital component of the current challenges in risk measurement, and therefore the regulator should design risk...
- 8 févr.
Macroprudential Regulation: A Risk Management Approach
Proposes a set of novel modeling mechanisms to regulate the size of banks' macroprudential capital buffers by using market-based...
- 7 févr.
Reinventing Operational Risk Regulation for a World of Climate Change, Cyberattacks...
Proposes a new framework for regulating operational threats such as damage to physical assets, business disruption, and system failures....
- 26 janv.
The Information Value of Past Losses in Operational Risk
"We show that past operational losses are informative of future losses, even after controlling for a wide range of financial...
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