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 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 …

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 …

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

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

Are assets in a landlocked country subject to sea-level rise risk? In this paper, we study the cross-border spillovers … data between 1970 and 2018, we observe that globalization increased the similarity of countries' global climate risk …

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 …

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

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 …