Uncertainty in Systemic Risks Rankings: Bayesian and Frequentist Analysis
"In this paper we propose efficient #bayesian Hamiltonian #montecarlo method for estimation of #systemicrisk#measures , LRMES, SRISK and...
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Rechercher
- 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...
- 2 mars
Algorithmic Black Swans
The paper discusses the risks posed by #artificialintelligence (#ai) systems, from biased lending algorithms to chatbots that spew...
- 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...
- 20 janv.
Macroprudential 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...
- 17 janv.
Building up Cyber Resilience by Better Grasping Cyber Risk Via a New Algorithm for Modelling...
"We propose here an analysis of the database of the cyber complaints filed at the Gendarmerie Nationale. We perform this analysis with a...
- 11 janv.
Systemic Operational Risk in the Australian Banking System: The Royal Commission
"This paper ... documents some of the most prominent cases of misconduct, which it summarizes in terms of operational risk losses (using...
- 12 déc. 2022
Climate Change, Bank Fragility, and Systemic Risk
"... climate change exacerbates financial instability, but adaptation can build resilience to climate impacts." LIRE
- 21 oct. 2022
Fat Tails and Asymmetric Time Horizons: Dealing With Systemic Climate-Related Uncertainty
"Even pioneering forward-looking stress tests cannot feasibly capture all possible tail risks. We propose supplementing the existing...
- 21 sept. 2022
Regulatory Complexity, Uncertainty, and Systemic Risk: are Regulators Hedgehogs or Foxes?
"Rebalancing regulation towards simplicity may produce Pareto-improving solutions, and encourage better decision making by authorities...
- 16 sept. 2022
The impact of climate transition risks on financial stability. A systemic risk approach.
"We find that default premium, yield slope and inflation are the main drivers of climate transition risk, and that, in terms of capital...
- 13 juil. 2022
Corporate Governance and Sustainability
"Sustainability and social inequality are ‘grand challenges’ with a strong impact on companies and investors. The dominant theories and...
- 7 juin 2022
Δ−CoES
"For regulators, risk managers and market participants these properties are interesting from an economic standpoint when they require the...
- 6 avr. 2022
Evolving Approaches to Systemic Risk Regulation in Insurance
"... this book chapter evaluates how policymakers' approaches to systemic risk regulation in insurance have evolved since the crisis. It...
- 11 févr. 2022
Climate Change and Financial Systemic Risk: Evidence from Us Banks and Insurers
"We believe the results of this study can provide useful insights for the decisions of financial institutions and supervisors about the...
- 10 févr. 2022
Climate Change and Financial Systemic Risk: Evidence from Us Banks and Insurers
"... we investigate how financial system stability, assessed through market-based systemic risk measures (SRMs), relates to...
- 9 févr. 2022
The Rising Interconnectedness of the Insurance Sector
"We develop a measure of connectedness using a multifactor model of weekly equity returns. The empirical analysis is conducted from 1973...
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