In diesem Working Paper wird digitale Resilienz als strategische Metakompetenz für Organisationen im Kontext disruptiver Transformation untersucht. Dazu werden sechs zentrale Problemfelder - von technologischer Komplexität über Cyber-Bedrohungen bis hin zu kultureller Trägheit - analysiert...

The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...

We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...

This paper examines the relevance of banks' exposure to climate transition risk in the interbank lending market. Using transaction-level data on repo agreements, we first establish that banks with higher exposure to transition risk face significantly higher borrowing costs. This premium is a...

We investigate the impact of structural shocks on the joint distribution of future real GDP growth and inflation in the euro area. We model the conditional mean of these variables, along with selected financial indicators, using a VAR and perform quantile regressions on the VAR residuals to...

This study examines the systemic operational risk in Morocco's banking sector using a Panel VAR model based on data from three banks over ten years. The model includes real GDP, interbank rate (TMP), and bank credit, alongside indicators of operational, credit, and liquidity risks. The Impulse...

Since the deregulation of electricity markets in the 1990s, U.S. power grids have witnessed the creation of an increasingly diverse suite of financial instruments designed to mitigate risks caused by underlying generation and consumption patterns. However, the nature of risks is shifting rapidly...

Physical climate risks significantly influence banks' collateral practices. Drawing on comprehensive loan-level data from Sweden, we find that adverse weather events increase both the likelihood and the amount of collateral required for new loans. For existing loans, banks are less inclined to...

This study examines how geographic distance to Vietnam's centralized securities regulator-the State Securities Commission (SSC)-influences firm-level stock price crash risk. In emerging markets characterized by weak governance, corruption, and political connections, distance can erode monitoring...

This paper examines the effect of government procurement on the firm-level labor share in China. Using manually collected local government contract data matched with A-share non-financial listed firms from 2015 to 2023, we find that firms receiving government procurement contracts experience...

We study how global supply chain disruptions affect monetary policy transmission. Post-pandemic evidence indicates surging transportation costs, goods-market imbalances, and rising prices. We develop a model in which logistical bottlenecks (upstream slack coexisting with downstream shortages)...

Die Anfälligkeit der Lieferketten europäischer Unternehmen gegenüber politisch bedingten Störungen und die festgestellte Bereitschaft autoritärer Regime zur Ausnutzung wirtschaftlicher Abhängigkeiten haben deutlich gemacht, wie wichtig es für Staaten und Unternehmen ist, geopolitische...

Geopolitische Krisen können über den Wirkungskanal des Finanzsystems gravierende Auswirkungen auf Wirtschaft und Gesellschaft jenseits der Krisenregion entfalten. Das Ausmaß der Schäden kann erheblich sein und seiner Dimension weit jenseits der politischen Ursache liegen. Die mittelbaren...

Events are a constant factor in daily life, fulfilling people with joy, experiences, and unforgettable memories. However, since the early 2000s, a major cloud lies over the festival and event industry. Multiple terror attacks, starting with the influential attack of the 11th of September 2001,...

Background: The service life and availability of electronic components are steadily declining, whereas the operational lifespan of industrial devices that incorporate such components often extends over several decades. This disparity creates a mismatch between the durability of individual...

This study develops an integrated risk modeling framework to assess capital adequacy and optimize portfolio performance for Thai life and non-life insurers. Leveraging ARMA-GJR-GARCH models with skewed Student-t innovations, extreme value theory, and dynamic R-vine copulas, the framework...

This paper proposes a new framework for measuring systemic financial risk, which combines the Diebold and Yilmaz spillover index model, complex network, and dimensionality reduction method. This framework simulates the process of risk contagion through network dynamics, accounting for the...

This study examines the impacts of Enterprise Resource Planning (ERP) systems on financing costs from the dual perspectives of risk management and relative value creation based on corporate value maximization objectives. Data were manually collected from the listed companies in China. It is...

This study examines the impact of financial inclusion on bank stability across 36 emerging economies, utilizing bank-level data from over 1,500 commercial banks spanning the period 2004 to 2023. Despite the recognized benefits of financial inclusion, its influence on banking stability remains...

This study examines the use of Filtered Historical Simulation (FHS) to estimate tail risk in cryptocurrency markets for the optimization of robustness in this area under model misspecification. An ARMA-GARCH model is employed on the daily returns on Binance Coin and Litecoin in order to compare...

Conventional risk assessment frameworks usually define risk as a function of vulnerabilities and threats, but they frequently lack a single quantitative model that incorporates the unique features of each element. In order to close this gap, this paper creates a flexible, open, and theoretically...

In the dual risk model, while the ultimate ruin probability has an exact and straightforward formula, the mathematics becomes significantly more complex when considering a finite time horizon, and the literature on this topic is scarce. As a result, there is a need for numerical approximations....

This study investigates the nonlinear and regime-dependent relationship between climate policy uncertainty (CPU) and sovereign credit default swap (CDS) spreads across a panel of developed and emerging economies from February 2010 to March 2025. Utilizing the Quantile-on-Quantile Regression...

The purpose of this article is to suggest a primer for culture risk, aimed at outlining actionable and practical approaches distinguishing between 'risk culture' and 'culture risk'. The topic, originally addressed by the Financial Stability Board (FSB, 2014), has recently garnered renewed...