How Do Financial Crises Redistribute Risk?
Examining the Great Depression, we use novel methods and data to show that despite 9,000 #bank closures, #risk increased instead of...
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Rechercher
8 juin 2023
Climate Risk Contagion of U.S. Banks
"We examine the impact of the U.S. withdrawal from the #parisagreement on the relationship between #climaterisk and #systemicrisk of #us...
26 avr. 2023
Regulation Priorities for Artificial Intelligence Foundation Models
This article discusses the need for high-level frameworks to guide the #regulation of #artificialintelligence (#ai) technologies. It...
21 avr. 2023
The Estimation Risk in Extreme Systemic Risk Forecasts
"#systemicrisk measures have been shown to be predictive of #financialcrises and declines in real activity. Thus, forecasting them is of...
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 mars 2023
Quantifying Systemic Risk in the Presence of Unlisted Banks
This paper proposes a #credit#portfolio approach for evaluating #systemicrisk and attributing it across #financialinstitutions. The...
2 mars 2023
Algorithmic Black Swans
The paper discusses the risks posed by #artificialintelligence (#ai) systems, from biased lending algorithms to chatbots that spew...
8 févr. 2023
Macroprudential Regulation: A Risk Management Approach
Proposes a set of novel modeling mechanisms to regulate the size of banks' macroprudential capital buffers by using market-based...
20 janv. 2023
Macroprudential policies and climate risks
"Insights from scenario analysis may help inform the use of ‘hard’ macroprudential tools to foster the robustness and resilience of the...
17 janv. 2023
Building up Cyber Resilience by Better Grasping Cyber Risk Via a New Algorithm for Modelling...
"We propose here an analysis of the database of the cyber complaints filed at the Gendarmerie Nationale. We perform this analysis with a...
11 janv. 2023
Systemic Operational Risk in the Australian Banking System: The Royal Commission
"This paper ... documents some of the most prominent cases of misconduct, which it summarizes in terms of operational risk losses (using...
12 déc. 2022
Climate Change, Bank Fragility, and Systemic Risk
"... climate change exacerbates financial instability, but adaptation can build resilience to climate impacts." LIRE
21 oct. 2022
Fat Tails and Asymmetric Time Horizons: Dealing With Systemic Climate-Related Uncertainty
"Even pioneering forward-looking stress tests cannot feasibly capture all possible tail risks. We propose supplementing the existing...
21 sept. 2022
Regulatory Complexity, Uncertainty, and Systemic Risk: are Regulators Hedgehogs or Foxes?
"Rebalancing regulation towards simplicity may produce Pareto-improving solutions, and encourage better decision making by authorities...
16 sept. 2022
The impact of climate transition risks on financial stability. A systemic risk approach.
"We find that default premium, yield slope and inflation are the main drivers of climate transition risk, and that, in terms of capital...
13 juil. 2022
Corporate Governance and Sustainability
"Sustainability and social inequality are ‘grand challenges’ with a strong impact on companies and investors. The dominant theories and...
7 juin 2022
Δ−CoES
"For regulators, risk managers and market participants these properties are interesting from an economic standpoint when they require the...
6 avr. 2022
Evolving Approaches to Systemic Risk Regulation in Insurance
"... this book chapter evaluates how policymakers' approaches to systemic risk regulation in insurance have evolved since the crisis. It...
11 févr. 2022
Climate Change and Financial Systemic Risk: Evidence from Us Banks and Insurers
"We believe the results of this study can provide useful insights for the decisions of financial institutions and supervisors about the...
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