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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Rechercher
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...
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...
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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