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2 résultats pour « systemic risks »

Greenwashing and Systemic Risk: Evidence from Us and European Listed Banks

2 janv. 2025 Actualités réglementaires, esg, banks, systemic risks

The study finds that banks engaging in greenwashing practices contribute to increased systemic risk, especially larger and less efficient ones. The market values actual ESG performance more than disclosures, and strong environmental performance helps mitigate this risk.

Risk Aggregation and Allocation in the Presence of Systematic Risk via Stable Laws

23 oct. 2024 Autre, risk management, Multivariate Stable Distributions, systemic risks, aggregate risks, Tail Conditional Expectation

Effective risk management requires understanding aggregate risks, individual business unit riskiness, and systemic risks. Realistic models must consider complex phenomena like heterogeneous marginals and excess kurtosis. A modified individual risk model using Multivariate Stable Distributions addresses these challenges, enabling tractable aggregation, dependence analysis, and Tail Conditional Expectation calculations for aggregate risks.

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