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 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 …

efficient in responding to the liquidity crisis subject to large banks that contributed the most to systemic risk. However …

international minimum standards in order to mimimise systemic risk. Indeed, Basel agreement is designed to guide a judgement about … alternative model to Basel framework is derived where systemic risk is taken into account in each bank's dynamic. This might be a … new departure for prudential policy. It allows for the regulator to compute capital and risk requirements for controlling …

of the five categories of risk importance (size, cross-jurisdictional activity, interconnectedness, substitutability …/financial institution infrastructure, and complexity) may not be equal and the resulting systemic risk scores are mechanically dominated by … systemic risk scores. …

investors to counterparty risk. To mitigate the funds' exposure, their counterparties must pledge collateral. In this paper, we … present a framework to study collateral risk and provide empirical estimates for the $40.9 billion collateral portfolios of … about the high collateral risk of ETFs. Finally, we theoretically show how to construct an optimal collateral portfolio for …

We analyse the risk-taking behaviour of heterogenous intermediaries that are protected by limited liability and choose … both their amount of leverage and the risk exposure of their portfolio. Due the opacity of the financial sector, outside … providers of funds cannot distinguishing "prudent" intermediaries from those "imprudent" ones that voluntarily hold high-risk …

This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for … systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and inter … analysis, graph theory enables us to understand the dynamic behavior of our price system. We show that energy markets - as a …

individual institutions to the risk in the system. Although the threat index and the default level of a bank both reflect some …