to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk … loss distribution. The findings show that our VaR estimations are able to capture the tail risk and react to market …

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor … risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a … the combined risk to each factor and to the effect of their interaction by employing our proposed frequency-based approach …

robustness of stress testing practices, as part of the review of FGF risk management practices and the weakness identified in the … practices of FGFs and fintech in the UK, under the lens of prudential regulation and risk management approaches, focusing on the …

Central counterparties' (CCPs) role is to take over the counterparty risk during trading. To fulfill its role, a CCP … Monte Carlo simulation to simulate a 30 year time-series for three different products, which gave us the basis for the value-at-risk …

of the risk factors to support prudential regulation and reduce unnecessary risk intake in the financial system. This … paper examines the main bank risk determinants in Latin America. The period analysed covers the timespan from 1999 to 2013 …-driven comparable methodology to classify and select commercial banks from the sample. We study bank risk proxied by the Z-score. We use …

Climate risk refers to the risks associated with climate change and has already started to impact various sectors of … the economy. In this work, we focus on the impact of physical risk on the probability of default for a firm in the … of default. We also propose a model to assess the exposure of the firm to transition risk. …

This paper examines the bank liquidity risk while using a maturity mismatch indicator of loans and deposits (LTDm … exposed to liquidity risk. The financial crisis in 2007–2009 highlighted the importance of liquidity to the functioning of … business model, are related to liquidity risk, while using a sample of European banks in the period after the financial crisis …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

This paper proposes a new framework to reduce the variance and uncertainty in the risk assessment process. Today, this … and a simulation of the risk assessment process, and the improvement in reducing the variance is significant. …