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"We ... estimate the quarterly evolution of expected losses (Capital at Risk) for the UK banking sector, and via Monte Carlo simulations the stochastic distribution of UK banks’ losses to study the severity and likelihood of tail-events (Conditional Capital at Risk). In the end, we provide insights on the impact of the Covid-19 pandemic on UK banking system’s loss distribution by decomposing the sources of average and tail risks."
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"In addition to a range of international and domestic sources, our submission draws directly on the research, data and findings that comprise our Financial Services Human Rights Benchmark (FSHRB) launched in May 2021 measuring the levels of human rights risk management and compliance of the largest 22 financial services entities listed on the Australian Stock Exchange."o financial services for all communities, especially those most impacted by climate change. "
"For regulators, risk managers and market participants these properties are interesting from an economic standpoint when they require the increased sensitivity and heterogeneity of the Δ-CoES to set short-term capital requirements/risk limits, find problematic financial linkages, problematic financial institutions or have some kind of early warning system for the emergence of systemic risk."
"... we find the difference in decision-makers’ probability assessments between operational and non-operational risk factors is greater when assessing a proximate rather than a remote target. We contribute to the accounting literature by demonstrating how spatial distance affects probability judgments."