-term transition scenarios, we document a significant variance among banks in their risk exposure, with the most exposed institutions …

reallocation by banks in response to regulatory reform. Simulations highlight a tension between concentration and credit risk in … opportunity set to include an area-wide low-risk asset. By reinvesting into such an asset, banks would reduce both their … concentration and credit risk exposure. …

systemic risk have changed structurally. Our new framework complements traditional stress-tests focused on single institutions … by providing a holistic view of systemic risk. …

This paper develops a framework for the short-term modelling of market risk and shock propagation in the investment … in particular climate risk, with a first-of-its-kind dual view of transition and physical climate risk exposures at the … fund level. So far, while fund managers communicate more aggressively on their awareness of climate risk, it is still …

-SII) buffer, on banks' lending and risk-taking behaviour. The O-SII buffer is a macroprudential policy aiming to increase banks … the relative attractiveness of different asset classes, a higher capital requirement could also lead to risk-shifting and … therefore promote the build-up (or deleverage) of banks' risk-taking. Since the end of 2015, national authorities, under the EBA …

The systemic risk measure (SRISK) by V-Lab provides a market view of the vulnerability of financial institutions to a … characteristics of listed banks are mapped on balance sheet information. Systemic risk tends to be higher for banks that are larger …

risk. In this framework, banking sector distress in the form of the joint probability of default of financial … this dependence of banking sector distress on prevailing financial imbalances can enhance risk surveillance and stress …

One important source of systemic risk can arise from asset commonality among financial institutions. This indirect … portfolios. In this paper, we propose a new methodology for identifying and assessing banking sector systemic risk stemming from … compute bank portfolio sensitivities to a large number of risk factors (e.g. interest rates, equity prices, credit spreads …

implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the … existence of widespread risk-taking incentives in the investment fund sector, with a particular focus on incentives for … synchronised, cyclical risk-taking which could have systemic effects. Incentives arise from the positive response of investors to …

's vulnerability in multiple plausible macro-financial scenarios. The approach helps identify macro-financial risk factors of …