20 janv. 2023Macroprudential policies and climate risks"Insights from scenario analysis may help inform the use of ‘hard’ macroprudential tools to foster the robustness and resilience of the...
16 janv. 2023Bank Stress Testing, Human Capital Investment and Risk Management"While stress testing has modernized banks’ internal risk management by spurring the acquisition of highly skilled risk management...
8 nov. 2022Stressing Dynamic Loss Models"... we propose a reverse stress testing framework for dynamic models. Specifically, we consider a compound Poisson process over a finite...
8 juil. 2022Correlations in Operational Risk Stress Testing: Use and Abuse"Evidence that the COVID-19 pandemic had minimal effect on operational risk losses in 2020 is presented and the effect of model risk is...