Operational Loss Recoveries and the Macroeconomic Environment: Evidence from the U.S. Banking Sector
"Our findings offer new evidence on how economic shocks transmit to banking industry losses with implications for risk management and...
Rechercher
- 21 sept.
The Tensions of Cyber-Resilience: From Sensemaking to Practice
"We apply Weick’s (1995) sensemaking framework to examine four foundational tensions of cyber-resilience: a definitional tension, an...
- 16 sept.
Measuring Tail Risks
"We demonstrate the use of this risk measure for describing the tail risks in financial markets as well as the risks associated with...
- 14 sept.
A stochastic volatility model for the valuation of temperature derivatives
"This model allows to be more conservative regarding extreme events while keeping tractability. We give a method based on Conditional...
- 13 sept.
Convex Risk Measures for the Aggregation of Multiple Information and Applications in Insurance
"The potential use of the proposed risk measures in insurance is illustrated by two concrete applications, capital risk allocation and...
- 9 sept.
Quasi-convexity in mixtures for generalized rank-dependent functions
"Quasi-convexity in probabilistic mixtures is a common and useful property in decision analysis. We study a general class of non-monotone...
- 8 sept.
Female Chief Risk Officers (Cros) and Risk-Taking in Banks
"... the appointment of a female risk officer is not sufficient to reduce risk-taking by banks." LIRE
- 7 sept.
Operational Loss Recoveries and the Macroeconomic Environment: Evidence from the U.S. Banking Sector
"Our findings offer new evidence on how economic shocks transmit to banking industry losses with implications for risk management and...
- 2 sept.
Loss Aversion Leads to Fatalistic Management of Interdependent Risk
"The higher the degree of loss aversion, the lower is the likelihood to invest in other risk management activities is when...
- 17 août
Quasi-Logconvex Measures of Risk
"This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the...
- 5 août
Operational Loss Recoveries and the Macroeconomic Environment: Evidence from the U.S. Banking Sector
"Our findings offer new evidence on how economic shocks transmit to banking industry losses with implications for risk management and...
- 28 juil.
Should Bank Stress Tests Be Fair?
"We argue that simply pooling data across banks treats banks equally but is subject to two deficiencies: it may distort the impact of...
- 26 juil.
What Drives Bank-Specific Capital Requirements? Evidence from the Ssm
"Drawing on recently disclosed information on the Pillar 2 capital requirements of banks directly supervised by the ECB, we find that...
- 19 juil.
Managing the Cybersecurity Risks of Teleworking in the Post-Pandemic 'New Normal'
"... the security risks of teleworking are considered. Interviews were conducted with a number of industry professionals and specialist...
- 15 juil.
Strategy and Business Models in Retail Banking: Why They Also Matter to Supervisors
"Retail banking is a distinct part of the banking industry. It has been undergoing important changes in recent decades mainly due to...
- 13 juil.
The Road Less Travelled: Keynes and Knight on Probability and Uncertainty
"The possibilities of a Keynesian-Knightian synthesis as a way forward are considered by comparing these signposts. It is argued that,...
- 28 juin
Prediction Machines, Insurance, and Protection: An Alternative Perspective on AI's Role
"We provide a formal model evaluating the impact of AI and how risk management, stakes, and inter-related tasks affect AI adoption. The...
- 21 juin
Strategies for Boosting Cybersecurity
"... businesses have basic cybersecurity responsibilities and fundamental duties to operate securely in a digital society." LIRE
- 20 juin
Ensemble distributional forecasting for insurance loss reserving
"... different loss reserving models specialise in capturing different aspects of loss data. This is recognised in practice in the sense...
- 9 juin
Is Risk Analysis a Source of Misinformation? The Undermining Effects of Uncertainty on Credibility
"... risk management involves decision-making, such that inherently subjective values are imposed upon the scientific analysis. As a...