The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...

Reverse stress tests are a relatively new stress test instrument that aims at finding exactly those scenarios that cause a bank to cross the frontier between survival and default. Afterward, the scenario which is most probable has to be identified. This paper sketches a framework for a...

The constantly expanding losses caused by frequent natural disasters pose many challenges to the traditional catastrophe insurance market. The purpose of this paper is to develop an innovative and systemic trigger mechanism for pricing catastrophic bonds triggered by multiple events with an...