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14 févr. 2023
Risk Aggregation, Tail Risk, Correlation: Capital Allocation Efficiency and Regulator...
"... model uncertainty is a vital component of the current challenges in risk measurement, and therefore the regulator should design risk...
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12 sept. 2022
The Effects of the Financial Crisis and Basel III on Banks’ Risk Disclosure: A Textual Analysis
"Our findings, based on LDA topic modeling and term frequency, indicate that already at the time of the crisis Israeli banks had shifted...
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17 juin 2022
The Next Decade of EU Macroprudential Policy
"This paper presents an overview of key proposals formulated by the European Systemic Risk Board (ESRB), the European Banking Authority...
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27 mai 2022
Liquidity Coverage at Risk
"Building on the Liquidity Coverage Ratio created under the Basel III regulatory agreement, this paper introduces the notion of Liquidity...
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