24 résultats
pour « systemicrisk »
Proposes a set of novel modeling mechanisms to regulate the size of banks' macroprudential capital buffers by using market-based estimates of systemic risk combined with a structural framework for credit risk assessment. It applies the model to the European banking sector and finds differences with the capital buffers currently assigned by national regulators, which have substantial implications for systemic risk in the EEA.
"Insights from scenario analysis may help inform the use of ‘hard’ macroprudential tools to foster the robustness and resilience of the banking system against climate-induced shocks. Against the backdrop of the ongoing reform of the EU’s macroprudential framework, the paper explores how the macroprudential toolkit could be adjusted to the reality of climate-related financial risks."
"We propose here an analysis of the database of the cyber complaints filed at the Gendarmerie Nationale.We perform this analysis with a new algorithm developed for non-negative asymmetric heavy-tailed data, which could become a handy tool in applied fields. This method gives a good estimation of the full distribution including the tail. Our study confirms the finiteness of the loss expectation, necessary condition for insurability."
"This paper ... documents some of the most prominent cases of misconduct, which it summarizes in terms of operational risk losses (using Turner’s framework for analyzing organizational disasters) and also details some egregious examples of operational risk events ..."
"... climate change exacerbates financial instability, but adaptation can build resilience to climate impacts."
"Even pioneering forward-looking stress tests cannot feasibly capture all possible tail risks. We propose supplementing the existing capital requirements regime by giving it a stronger precautionary and macroprudential focus, paying particular attention to the prevention of environmental tipping points to avoid systemic and catastrophic impacts on the financial system and macroeconomy."
"Rebalancing regulation towards simplicity may produce Pareto-improving solutions, and encourage better decision making by authorities and regulated entities. However, addressing systemic risk in a complex financial system should not entail the replacement of overly complex rules with overly simple or less stringent regulations."
"We find that default premium, yield slope and inflation are the main drivers of climate transition risk, and that, in terms of capital shortfall, the cost of rescuing more risk-exposed financial firms from climate transition losses is relatively manageable. Simulation of climate risks over a five-year period shows that disorderly transition can be expected to imply significant costs for banks, while financial services and real estate firms remain more sheltered."
"Sustainability and social inequality are ‘grand challenges’ with a strong impact on companies and investors. The dominant theories and institutions of corporate governance present significant constraints on the capacity of practitioners, including company and fund managers, to engage in a timely and successful way with these grand challenges."
"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."