Particle MCMC in forecasting frailty correlated default models with expert opinion
This paper focuses on predicting #corporate #default #risk using frailty correlated default #models with subjective judgments. The study...
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19 avr. 2023
Risk, Discretion, and Bank Supervision
"... the new Climate Risk Division will integrate climate risks into its supervision of regulated entities, support the industry’s growth...
13 avr. 2023
Systemic risk measured by systems resiliency to initial shocks
This study proposes a new approach to the analysis of #systemicrisk in #financialsystems, which is based on the #probability amount of...
24 mars 2023
Uncertainty in Systemic Risks Rankings: Bayesian and Frequentist Analysis
"In this paper we propose efficient #bayesian Hamiltonian #montecarlo method for estimation of #systemicrisk#measures , LRMES, SRISK and...
9 janv. 2023
Risk Reporting to the Board of Directors: Comparison of Norwegian Power Companies and Banks
"... compares two industries where legislative requirements differ, but it finds the same pattern: the ideals of enterprise risk...
2 janv. 2023
Empirical Research on Banks’ Risk Disclosure
"By identifying research gaps and conceptualizing a research agenda, this paper continues to serve the academia to broaden the research...
29 sept. 2022
Tackling Problems, Harvesting Benefits - A Systematic Review of the Regulatory Debate around AI
"... we contribute both empirically and conceptually to a better understanding of the nexus of AI and regulation and the underlying...
19 sept. 2022
Regulatory Capital and Bank Risk-Resilience Amid the Covid-19 Pandemic:
"... banks with robust pre-crisis regulatory capital ratios are less risky (have a lower insolvency risky) relative to less-capitalised...
13 juil. 2022
The Road Less Travelled: Keynes and Knight on Probability and Uncertainty
"The possibilities of a Keynesian-Knightian synthesis as a way forward are considered by comparing these signposts. It is argued that,...
23 mai 2022
Flood Risk Quantification and Mapping: An Integrated Vulnerability-Based Approach at the Local Scale
"The integration of data in a geographic information system enables the visualization and spatialization of risk, but also each of its...
31 janv. 2022
Auditor Responses to Regulatory Risk: Evidence from SEC Investigations
"… auditors increase audit fees, provide higher audit quality, and are more likely to resign from suspected clients, suggesting that...
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