"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."
"The increased banking risk mainly attributed to reduction in bank capital and escalated fluctuations in bank profitability."
"… almost 50 percent of insurers at risk of facing additional regulatory scrutiny due to failing four Insurance Regulatory Information System (IRIS) ratios received sufficient internal capital to avoid enhanced regulation. Moreover, the likelihood and extent of internal capital allocation are related to regulatory scrutiny risk and the amount of capital allocated is typically just enough to avoid regulatory scrutiny."
"The article provides a short overview of methods for constructing mathematical models in the form of Bayesian Networks for modeling operational risks under conditions of uncertainty. Let’s provide the sequence of actions necessary for creating a model in the form of the network, methods for computing a probabilistic output in BN, and give examples of using the tool to solve practical problems of operational financial risk estimation."
"... new risks—and the intensification of longstanding risks—are pressure-testing the agility and resilience of corporate strategies, risk management systems and practices."
"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."
"... the methods discussed in this paper can apply to general machine learning classifiers in applications with imbalanced data issues, by using a case study in credit card fraud detection this paper calls practitioners’ attention to the imbalanced data problems therein, where class imbalance is often mistreated and lacks theoretical discussion."
"... we propose an approach to estimate very large losses similar to that used by Fermi and Drake to estimate the existence of extraterrestrial life. It consists of supposing the event of interest is the result of a concatenation of independent factors and estimating the probability of each factor. The problem is that the events in the causal chain might be events that have never been observed, which ties our subject to that of the estimation of probabilities of rare events."
"While stress testing has modernized banks’ internal risk management by spurring the acquisition of highly skilled risk management talent, recent changes to the tests could erode its efficacy."
"Using data on credit scores matched with unique information on firm level commercial insurance purchases, we find that financing constraints lead to higher insurance spending. We adopt a regression discontinuity design and show that financially constrained firms spend 5–14% more on insurance than otherwise similar unconstrained firms. "