building a dynamic stochastic general equilibrium model linked to global climate and a catastrophe risk model specifically for … drawing strong conclusions about the relevance of climate risk, as the model focused only on typhoons’ physical capital …

Banks may be unable to refinance short-term liabilities in case of solvency concerns. To manage this risk, banks can … choices, and increase refinancing risk. To be effective, liquidity requirements should be complemented by measures that …

Traditional theory suggests that more profitable banks should have lower risk-taking incentives. Then why did many … to reconcile theory and evidence. In our setup, banks are endowed with a fixed core business. They take risk by levering … core business allows a bank to borrow more and take side risks on a larger scale, offsetting lower incentives to take risk …

This paper builds a framework to quantify the financial stability implications of climate-related transition risk in … retail trade, and transportation sectors appear to be the most important in the transmission of the risk to the banking …

This paper explores three possible transmission channels for transition risk shocks to the financial system in Norway … discusses ways to advance the still evolving field of transition risk stress testing …

Too-Connected-to-Fail risk, among financial institutions for country monitoring, financial surveillance, investment … analysis and risk management purposes. This paper illustrates the use of balance sheet-based network analysis to evaluate … interconnectedness risk, under extreme adverse scenarios, in banking systems in mature and emerging market countries, and between …

Cyber risk is an emerging source of systemic risk in the financial sector, and possibly a macro-critical risk too. It … approaches to assess and monitor cyber risk to the financial sector, including various approaches to stress testing. The paper …

We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of … stock returns and market measures of risk. We find that banks with higher RWA had lower stock returns over the US and … European crises. This relationship is weaker in Europe where banks can use Basel II internal risk models. For large banks …