"Considering the proliferation of articles in this field, and the potential for the use of ML, we propose a review of the academic literature to assess how ML is enabling climate finance to scale up. The main contribution of this paper is to provide a structure of application domains in a highly fragmented research field, aiming to spur further innovative work from ML experts."
"The purpose of this article is to highlight the importance of taking a holistic approach to cyber. In particular, we argue that actuarial modelling should not be viewed stand-alone, but rather as an integral part of an interconnected value chain with other processes such as cyber-risk assessment and cyber-claims settlement."
"This architecture will improve board of directors’ decision-making, strengthen compliance and risk management protocols, empower gatekeepers such as lawyers and accountants to better monitor, and enhance the social contract between business and society. "
"We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called distortion riskmetrics, which include many statistical measures of risk and variability used in portfolio optimization and insurance."
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.
Proposes a new framework for regulating operational threats such as damage to physical assets, business disruption, and system failures. It suggests replacing rwa regulation with simple buffers of equity and outlines what a "macro-operational" approach to banking supervision might look like. It also acknowledges the limitations of macro-operational supervision and considers what new types of operations-specific emergency tools might need to be devised in response.
Monograph on accounting disclosure by banking institutions explores banking specificities, presents workhorse models, and illustrates specific applications of the models to inform policy.
This study reveals how operational risk events affect US bank CEO compensation from 1992-2016. Results indicate that compensation committees take operational risk into account & that recent regulations have enhanced this process. Additionally, operational risk events have a detrimental effect on options-based compensation.
"We study blockchain adoption in insurance-reinsurance markets. Operating costs decrease with the adoption rate, since verification and storage costs are shared. We quantify how the equilibrium adoption decisions depend on contract characteristics, risk aversions, potential losses and cost structure. The reinsurance firm internalizes the benefits of adoption on other insurance firms, acting as a central planner. We characterize the adoption gap between decentralized (Nash) and centralized blockchain consortium."
"We aim to analyze strategies for assessing and managing new risks that affect the insurance industry, considering the regulatory requirements that the company must follow. To this end, the open-source software Climada was examined. This software uses stochastic forecasting models such as ARCH, GARCH, and ARIMA. Through real data obtained during an internship at E&Y, it was determined that these models can be a useful tool for insurance companies when dealing with extreme risks. This includes their exposure and solvency. Additionally, the study explores issues related to climate change"