This paper proposes an approach to estimate the impact of adverse climatic events on the profitability of small European banks (LSIs). By considering river ooding phenomena, we construct a unique database matching the information on location, frequency and severity of oods with the location and...

In this paper we review the models of joint defaults of the current major industry-sponsored credit risk frameworks. Recognizing the need for further improvements of these models, we address the following issues. First, we identify the most important modeling drawbacks that could be fixed on a...

The Bank of England has developed a risk-based methodology to support its oversight of payment systems. The methodology provides more precise estimates of risks in payment systems than previously available. Because it is consistent and systematic in its application, the methodology assists the...

I incorporate the productivity risks into an investment-based q-factor asset pricing model. The productivity risks factors largely summarize the cross-sectional portfolio return, where the time-varying volatility plays an important role. A parsimonious q-factor model driven by productivity risks...

This article proposes a multi-currency cross-hedging strategy that minimizes the exchange risk. The use of derivatives in small and medium-sized enterprises (SMEs) is not common but, despite its complexity, can be interesting for those with international activities. In particular, the reduction...