This paper uses the Growth-at-Risk (GaR) methodology to examine how macrofinancial conditions affect the growth outlook …

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 …

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

This paper reviews the approaches to systemic risk analysis in 32 central bank financial stability reports (FSRs). We … compare and contrast the systemic risk analysis in FSRs with the IMF Article IV staff reports, noting that Article IV staff … reports and FSRs frequently pick up analytical content from each other. All reviewed FSRs include a systemic risk assessment …

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

sophisticated. Risk awareness has been increasing, firms actively manage cyber risk and invest in cybersecurity, and to some extent … transfer and pool their risks through cyber liability insurance policies. This paper considers the properties of cyber risk … risk interacts with other financial stability risks. Furthermore, this study examines the current regulatory frameworks and …

This paper presents background work that has been the basis for the development of the market and credit risk …. The fundamental idea was to build a set of Financial Indicators on Risk and Stability (FIRST) that could reflect the …

We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies … patterns over the financial cycle. We find that liquidity and solvency risk indicators tend to be counter-cyclical, whereas … mispricing risk ones are procyclical, and they all lead the credit cycle. Our results lend support to high-level accounts that …

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for …