"Our findings offer new evidence on how economic shocks transmit to banking industry losses with implications for risk management and supervision."
"... insurance pricing can accelerate the incorporation of climate risk in asset markets."
"We use firm-day level data from RepRisk about negative operational incidents that are classified into environmental, social, and/or governance issues. We find that analyst outputs predict negative ESG incidents, suggesting that analyst outputs contain information that is predictive of these events."
"... requirement releases are more effective for banks with a low capital headroom over requirements and do not trigger additional risk-taking. These findings provide key insights on how to design effective bank capital requirement releases in crisis time."
"We apply Weick’s (1995) sensemaking framework to examine four foundational tensions of cyber-resilience: a definitional tension, an environmental tension, an internal tension, and a regulatory tension. We then document how these tensions are embedded in cyber-resilience practices at the preparatory, response and adaptive stages. We rely on qualitative data from a sample of 58 cybersecurity professionals in the financial sector..."
"Rebalancing regulation towards simplicity may produce Pareto-improving solutions, and encourage better decision making by authorities and regulated entities. However, addressing systemic risk in a complex financial system should not entail the replacement of overly complex rules with overly simple or less stringent regulations."
"... banks with robust pre-crisis regulatory capital ratios are less risky (have a lower insolvency risky) relative to less-capitalised banks amid the crisis period. This suggests that the post 2007-09 Basel reforms have succeeded, to some extent, in strengthening the risk-resilience of banks during the Covid-19 economic fallout."
"... we characterize Pareto-optimal risk-sharing contracts in a market with multiple policyholders and one representative insurer. With minimal assumptions on the risk measures of the parties involved, we characterize Pareto optimality in terms of the minimization of a sum of the agents' risk positions, and we relate it to both the core and coalitional stability of an associated market game. In the special case of coherent risk measures, the optimal indemnity schedules are further characterized in explicit form, in terms of what can be called "worst-case probability measures". "
"We find that default premium, yield slope and inflation are the main drivers of climate transition risk, and that, in terms of capital shortfall, the cost of rescuing more risk-exposed financial firms from climate transition losses is relatively manageable. Simulation of climate risks over a five-year period shows that disorderly transition can be expected to imply significant costs for banks, while financial services and real estate firms remain more sheltered."
"We demonstrate the use of this risk measure for describing the tail risks in financial markets as well as the risks associated with natural hazards (earthquakes, tsunamis, and excessive rainfall)."