This study, based on #cdc data, investigates the relationship between #influenza-like illnesses (ILIs) and #audit outcomes in public companies. The study explores whether the overlap between #fluseason and the audit busy season affects #auditquality, as the demanding nature of audits may lead to employees going to work sick. The study finds that audit offices at highest risk of ILIs experience delayed audit report filings and lower audit quality due to impaired cognitive functioning resulting from #presenteeism. These findings have broad implications for workplaces and the audit profession, highlighting the impact of #health impairments on company outputs.
We propose and implement a method to identify shocks to #transitionrisk addressing key challenges regarding its definition and #measurement. Our shocks are instances where significant new information about the economic relevance of climate change increases the valuation of #greenfirms over #brownfirms. To illustrate our method, we identify shocks to transition risk in the #us. These shocks have important aggregate effects, also inducing #financialinstability. They are associated with events that increase the likelihood of an orderly transition, and they specifically affect parts of the economy related to #fossilfuels and #energy. We show that these main results carry over to #de and the #uk. Still, we find an important role for country specificities.
The current #canadian regime, which draws on the #basel #operationalrisk framework, is not equipped to handle the unique challenges of #cyberrisk. Cyber incidents differ from traditional operational disruptions in terms of their dynamism and impact, and traditional risk-based #supervision is not suitable for the rapidly changing cyber profile of #regulated #financialinstitutions.services for all communities, especially those most impacted by climate change."
There are five different common reactions to dealing with, or taming, this #uncertainty in #cyberspace: (1) using #riskmanagement to control uncertainty; (2) recovering from uncertainty through #resilience; (3) mitigating uncertainty through the use of #laws and #regulations; (4) suspending uncertainty by engaging in trust; and (5) ignoring uncertainty through inaction.
Outsiders in #bank#boards improve #riskgovernance (decrease #risktaking, increase #riskmonitoring) for #regulatory#riskmeasures but worsen risk governance for economic risk measures.
Examines the relationship between #crime and #insurance, with a focus on the role of #governance, #riskassessment and #riskmanagement, #crimeprevention, #securitytechnology, #behavioraleconomics, #theft, #kidnap and #hijack for ransom, #fraud, and #ransomware. It analyzes five case studies to identify a co-evolutionary process in which #insurers collaborate with insureds, governments, and #thirdparty to #mitigaterisk, particularly when criminal innovations destabilize the #insurancemarket.
This paper explores the optimal #reinsurance design for an #insurer with multiple lines of business, where the dependence structure between #risks is unknown. The study considers Value-at-Risk (#var) and Range-Value-at-Risk (#rvar) as #riskmeasures and applies general premium principles. The optimal reinsurance strategies are obtained under budget constraint and expected profit constraint.
"We discuss different properties and representations of default #riskmeasures via monetary risk measures, families of related #tailrisk measures, and Choquet capacities. In a second step, we turn our focus on #defaultrisk measures, which are given as worst-case [#probability of #default] PDs and distorted PDs. The latter are frequently used in order to take into account model risk for the computation of #capitalrequirements through risk-weighted assets (#rwas), as demanded by the Capital Requirement #regulation (#crr). In this context, we discuss the impact of different default risk measures and margins of conservatism on the amount of risk-weighted assets."
This paper analyzes the relationship between the #baseliii countercyclical #capitalbuffer (#CCyB) and the #liquidity coverage #ratio (#lcr) requirement. The study shows that banks face a risk-liquidity trade-off with the LCR, affecting the CCyB required level to dampen cyclicality in #bank actual #capitalratios.
This paper proposes a novel mixed-frequency quantile vector autoregression (MF-QVAR) model that uses a #bayesian framework and multivariate asymmetric Laplace distribution to estimate missing low-frequency variables at higher frequencies. The proposed method allows for timely policy interventions by analyzing conditional quantiles for multiple variables of interest and deriving quantile-related #riskmeasures at high frequency. The model is applied to the US economy to #nowcast conditional quantiles of #gdp, providing insight into #var, Expected Shortfall, and distance among percentiles of real GDP nowcasts.