Search Results - subject:"Risk"

From nature shocks to financial stability : incorporating nature physical risks - in particular water-related risks - into banks' credit risk models and insurers' market risk model...

Gallet, Sébastien; Prodani, Julja; Rang, Kitty - 2026

Persistent link: https://www.econbiz.de/10015632814

Hydrogeological and credit risk : the Italian firms' physical risk-adjusted probability of default

Cugliari, Manuel; Narizzano, Simone; Vassalli, Federica - 2026

Persistent link: https://www.econbiz.de/10015613760

Public-data causal multiscale wavelet spillover learning for stock index volatility forecasting and risk early warning

Liu, Hengyan; Shen, Yisu; Jiang, Aiping - 2026

Accurate volatility forecasting and timely risk early warning are foundational requirements of financial risk … management: Value-at-Risk estimates, portfolio risk limits, derivative hedging ratios, and stress-test scenario calibrations all … whether medium- and long-scale wavelet energy from peer indices carries incremental risk-relevant information. The empirical …

Persistent link: https://www.econbiz.de/10015676659

Incorporating physical climate risks into banks' credit risk models

Pozdyshev, Vasily; Lobanov, Alexey; Ilinsky, Kirill - 2025

Persistent link: https://www.econbiz.de/10015448625

A unified longevity-financial risk framework for evaluating pension funding ratios

Rania, Francesco - 2026

Defined-benefit pension funds face simultaneous exposure to longevity risk and financial market volatility, yet most …-Ingersoll-Ross model for stochastic interest rates; liabilities are valued under the risk-neutral measure. The model is calibrated to … Italian ISTAT/HMD mortality data and institutional benchmarks over 2000-2023; solvency risk is quantified via value-at-risk …

Persistent link: https://www.econbiz.de/10015676662

A novel scaling approach for unbiased adjustment of risk estimators

Pitera, Marcin; Schmidt, Thorsten; Stettner, Łukasz - 2026

Persistent link: https://www.econbiz.de/10016070995

Systemic operational risk in Morocco's banking sector : an empirical analysis using panel VAR

El Khadi, Kawtar; Firano, Zakaria - 2026

This study examines the systemic operational risk in Morocco's banking sector using a Panel VAR model based on data … of operational, credit, and liquidity risks. The Impulse Response Functions (IRF) show that operational risk shocks … that GDP significantly explains the variance in operational risk. To strengthen the analysis, a dynamic panel GMM model is …

Persistent link: https://www.econbiz.de/10015591384

How much risk in U.S. government bond markets is transmitted to their Canadian counterparts?

Feunou, Bruno; Fontaine, Jean-Sébastien; Hill, Robert A. - 2026

We address this question by jointly modeling the distributional dynamics of the U.S. and Canadian term premia. Our approach combines a flexible marginal specification-the Skewed Generalized Error Distribution-with a flexible bivariate copula (BB7) to capture evolving cross-market dependence. We...

Persistent link: https://www.econbiz.de/10015676683

Credit risk dynamics under global uncertainty : shock-regime dependence

Sri Budi Cantika Yuli; Rofik, Mochamad - 2026

This study investigates the credit risk of Indonesian banks under the influence of global uncertainty, particularly … global trade uncertainty (GTU) and global financial uncertainty (GFU). Unlike most studies that treat credit risk as a … homogeneous concept, this research distinguishes between two key components: inherent risk, which arises from borrower …

Persistent link: https://www.econbiz.de/10016088828

Measuring flood risk in Czechia with stress testing and a Gumbel copula based VaR

Folprecht, Marek - 2026

Persistent link: https://www.econbiz.de/10015609159