Nos derniers articles

"From a #riskmanagement perspective, it is challenging to #model physical and #transitionrisks given the #uncertainty around #climaterisk drivers, such as changes in #governmentpolicy aimed at reducing #greenhousegasemissions, the pace of technological change, and uncertainty around the transmission channels. A dearth of in-house modeling tools and reliance on #thirdparty vendors also hamper #banks’ ability to properly understand and manage #risks. The most recent #boe climate biennial exploratory scenario (#cbes) noted that “banks varied in their ability to scrutinize and understand the strengths and weakness of third-party models, and adapt them appropriately to the CBES.” As a result, projected #losses for banks varied widely, suggesting a high degree of uncertainty about the magnitude of climate risks as well as a limited ability to accurately reflect such risks in business decisions."

#operationalrisk #oprisk #fraud #marketabuse #riskmanagement"Our DD analysis reveals that #workingfromhome lowers the likelihood of securities #misconduct; ultimately those working from home exhibit fewer misconduct alerts."

This paper explores potential revisions to the calculation of the #solvencyII#risk margin (RM) and contributes to the ongoing discussion by formally defining the concept of capital-on-capital cost. The paper highlights the need for practitioners to consider capital-on-capital costs in their #lifeinsurance#riskmanagement frameworks and for policymakers to carefully evaluate the potential impact of any revisions to the calculation of the RM.

This study examines the relationship between reputational events and business sustainability by assessing the effects of such events on the share prices/market capitalisations of FTSE/JSE Top 40 Index entities. Using event study methodology and Tobin’s Q ratio, the study found that reputational events are associated with significant negative cumulative average abnormal returns on the day of the event announcement and for a period thereafter, highlighting the need for listed firms to include #reputationalrisk within their #riskmanagement management frameworks and for practitioners to implement reputation management strategies.

This research presents a balance #scorecard tool for assessing #disasterriskreduction and #resilience (#dr3) in the context of #floods, #droughts and #heatwaves. It aims to support the integration and monitoring of #climateadaptation, #sustainability and #riskreduction into development planning in vulnerable communities. This approach contributes to strengthening #governance, resilience and #riskmanagement in disaster-prone areas.

"This paper examines the major causes of #svbcollapse collapse in March 2023 from a #regulatory and #riskmanagement perspective... Our analysis reveals major weaknesses in SVB’s risk management practice but also underlines weaknesses in the US regulatory regime [compared to #baseliii] reaching from reporting exemptions for small banks in the domain of liquidity and interest rate risks, non-sufficiently sensitive monitoring ratios, and misalignments between #accounting and risk management principles hindering effective oversight."

This paper discusses the limitations of traditional #asset#liability#management (#alm) techniques in #riskmanagement, particularly in high-interest rate environments, and proposes the application of #deep#reinforcement#learning (#drl) to overcome these limitations. The paper defines the components of #reinforcementlearning (#rl) that can be optimized for ALM, including the RL Agent, Environment, Actions, States, and Reward Functions. The study shows that implementing DRL provides a superior approach compared to traditional ALM, as it allows for increased #automation, flexibility, and multi-objective #optimization in ALM.

"... the results provide empirical evidence that #twitter#sentiment and media attention ultimately fueled and accelerated the crash dynamics of #siliconvalleybank apart from the asset-liability mismatch caused by inappropriate #riskmanagement. The findings also emphasize the importance of #socialmedia and herding behaviour for #financialstability."

"#banks that did well in the #gfc also did well in the #pandemic while banks that did poorly during the GFC also did poorly during the pandemic."

"This article discusses the recent bank failures of #svb and #signaturebank and analyzes the balance sheets of these banks to determine if they were outliers or if they represent a systemic problem in #riskmanagement... Our analysis suggests that SVB and Signature were not representative of the canary in the coal mine and that they do not represent the average risk among #banks, but a classic #bankrun run cannot be precluded."