We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a … role in explaining the severity of cyclical and credit risk materialization during financial cycle contractions. Among …

a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter (λ … the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this AI based risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …

risk by industry sector and geographic region. The proposed approach generalizes the portfolio model used in Pillar 1 for … the calculation of the capital requirement, removing the assumptions of the existence of one systematic risk factor and of … calculated using the supervisory formula can be interpreted as a measure of concentration risk. The Pykhtin model is consistent …

year, or one breach expected per thousand years. The capital needed to provide this protection is known as Value at Risk or …

decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions … deriving the network risk model, the portfolio covariance matrix is decomposed to obtain the network-driven component of the … both the variance and covariance decompositions. In a third step, using quantile regressions, the proposed network risk …

financial risks have arisen. As a consequence, model risk has been a source of concern for financial regulators. This risk … empirical conclusion is that the PD uncertainty has not a relevant impact on the risk measurement …

credit risk amid greater uncertainty. These adverse impacts of uncertainty on bank lending (both quantity and quality) are …

Climate risk is one of the type of risks in a bank's portfolio which is not fully recognized, and its impact on the … future overall risk changes is hidden due to lack of sufficient knowledge at the moment. One of the most common data comes … from Network for Greening the Financial System (NGFS) scenarios related to climate change (physical risk) and climate …

the credit portfolio risk profile of the occupational pension insurance plan and compare two alternative pricing plans. We … find that there is a low, yet non-negligible risk of very high losses that may threaten the existence of the occupational … pension insurance plan (PSVaG). While relating risk premiums to firms' default probabilities would cause them to diverge …