We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic … quantify mortgage lending risk in two distinct mortgage markets. For each application, we show a range of modeling adjustments … that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk …

This paper explains the treatment of sovereign risk in macroprudential solvency stress testing, based on the … of sovereign risk: scope, loss estimation, shock calibration, and capital impact calculation. Most importantly, a market …-consistent valuation approach lies at the heart of assessing the resilience of the financial sector in a tail risk scenario with sovereign …

relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …. We define the concept of 'Liquidity at Risk', which quantifies the liquidity resources required for a financial …

Cyber risk is an emerging source of systemic risk in the financial sector, and possibly a macro-critical risk too. It … approaches to assess and monitor cyber risk to the financial sector, including various approaches to stress testing. The paper …

risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated …

The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of …

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of …

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects … effects of interconnectedness structures that are consistent with markets' perceptions of risk. We then show how SE losses can …

This paper builds a framework to quantify the financial stability implications of climate-related transition risk in … retail trade, and transportation sectors appear to be the most important in the transmission of the risk to the banking …