change and the economy; and (iii) further explore "compound risk" scenarios in which climate risks co-occur with other risks … risk pricing in financial markets; and (iv) better understand and incorporate the process of expectations formation around …

In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that … to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain … optimal deals by finding the portfolio weights in an asset demand system that targets return and risk. Extrapolating wildfire …

This paper studies banks' investment in risk management practices following the Global Financial Crisis and the advent … of stress testing. Banks that experienced greater losses during the Crisis exhibit stronger demand for risk management … performance on a test. Following this higher demand, banks exhibit lower systematic risk and lower profitability. While stress …

We exploit regional variations in exposure to heat stress to study if physical climate risk is priced in municipal and …

assets but left the vast majority of their long-duration assets exposed to interest rate risk. Data from call reports and SEC … filings shows that only 6% of U.S. banking assets used derivatives to hedge their interest rate risk, and even heavy users of …, focusing on short-term gains but risking further losses if rates rose. Instead of hedging the market value risk of bank asset …

Motivated by the regional bank crisis of 2023, we model the impact of interest rates on the liquidity risk of banks …. Prior work shows that banks hedge the interest rate risk of their assets with their deposit franchise: when interest rates … the bank. The liquidity risk of the bank thus increases with interest rates. We provide a formula for the bank's optimal …

This study is concerned with establishing the determinants of banks' exposure to risk and with predicting risk in … banking. Using the COMPUSTAT data base, prediction rules have been developed for two aspects of risk: systematic risk (risk … that is related to covariance with the market portfolio) and residual risk (the aggregate of specific …

Over the last twenty years, the consensus view of systemic risk in the financial system that emerged in response to the … facing financial institutions. The dramatic rise of modern risk management has changed how the risks of financial … institutions are measured and how these institutions are managed. However, modern risk management is not without weaknesses that …