Risk management is composed of three major elements viz., hazard identification, riskestimation and risk evaluation. The aim of hazard identification and risk estimation is toidentify the outcomes from risk, the magnitude of the associated con&quences from risk, andthe estimation of the...

This article contains the Banco de España’s initial analysis of the energy transition risks’ impact on the banking sector, using its Forward Looking Exercise on Spanish Banks (FLESB) in-house stress-testing framework. Different macroeconomic scenarios, linked to higher prices and the...

La literatura académica reciente muestra que los bancos están expuestos a pánicos sobre sus líneas de crédito. Durante estos pánicos, las empresas retiran fondos de sus líneas de crédito por miedo a restricciones crediticias futuras. En este trabajo usamos los resultados de las pruebas...

Summary of Banco de España Working Paper no. 2245

This paper first identifies the level of cyclical systemic risks in Spain, also calibrating their impact on the solvency of the banking system, and, second, assesses the costs and benefits of the countercyclical use of capital requirements. The first part of the paper is based on an integrated...

Este documento presenta un conjunto amplio de análisis para, en primer lugar, identificar el nivel de los riesgos sistémicos cíclicos en España y calibrar su impacto sobre la solvencia del sistema bancario y, adicionalmente, valorar los costes y beneficios del uso contracíclico de los...

In this thesis we address problems associated with financial modelling from a Bayesian point of view. Specifically, we look at the problem of calibrating financial models, measuring the model uncertainty of a claim and choosing an optimal hedging strategy. Throughout the study, the local...

Diese Dissertation untersucht die Messung finanzieller Risiken und besteht aus vier eigenständigen Forschungspapieren über die Analyse, Modellierung und Vorhersage solcher Risiken in verschiedenen wirtschaftlichen Szenarien. Die gegenwärtigen Risikomaße ignorieren größtenteils das...

Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark....

When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to estimate the optimal hedge ratio (OHR). When agents have mean-variance utility and the futures price follows a martingale, the OHR is equivalent to the minimum variance hedge...