The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor … risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a … the combined risk to each factor and to the effect of their interaction by employing our proposed frequency-based approach …

In this paper, we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of … total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system. Our … allocation principle distributes the total systemic risk among individual institutions according to their size-shifted marginal …

This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The … determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the … systemic risk scenario, despite having suffered economic losses due to external shocks, mainly due to the subprime crisis. The …

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity … manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors' downside risk …

in the event of the bank’s financial distress. CoCo carries two major risks: the risk of default, which threatens any … type of debt instrument, plus the exclusive risk of mandatory conversion. In this paper, we propose a model to value CoCo …