the complete risk management process. An Example from a mechanical engineering company is used for the final validation of …

developments on the growth-at-risk methodology and the literature on the impact of macroprudential policy. For this purpose, I … warning properties of systemic risk, and macroprudential measures. I identify heterogeneous effects of macroprudential policy … policy on reducing the downside risk of GDP is found to be larger than the negative impact on the median, suggesting a net …

maintain risk identification frameworks that allow them to detect in good time and address potential threats to financial … specific research activities. We classify our set of measures into two broad categories depending on the risk monitored …: standard or systemic risks. Given the multidimensional nature of systemic risk, its identification goes beyond the sum of the …

The European Systemic Risk Board was established in the wake of the global financial crisis as the authority … decade, the European Systemic Risk Board’s activity has been marked by the challenges posed by the operationalisation of the … Risk Board – of which the Banco de España is a member institution – has worked tirelessly to achieve its mission and …

institutional reforms stemming from the creation of the European Systemic Risk Board in 2010 and the start of the Single Supervisory …

The increase in the use of copulas has introduced implementation issues for both practitioners and researchers. One of …) methods. Archimedean copulas are one of the most important classes of copulas that are widely used in both finance and … insurance for modelling dependent risks. However, simulating multivariate Archimedean copulas has always been a difficult task …

An important goal of financial risk regulation is promoting coordination. Law's coordinating function minimizes costly … partly by increasing coordination.By contrast, much of financial economics is premised on a world without coordination. Basic … tools used to manage financial risk presume that changes in asset prices follow a random walk and individuals buy and sell …

general public. Hedge funds risk taking activity using ways such as short selling and excessive leverage and their … held by the broad economy, as well as the capital charges at the fund level accounting for the residual idiosyncratic risk … risk to the economy in large. In the Third Chapter, we recognize that with limited and incomplete information on hedge …

of existing risk measurement techniques and, in some cases, through the development of new techniques, when older risk … models proved to be inadequate. A principal secondary aim of the thesis was the testing of these methodologies - in real-world … risk management environment. Some of the bank asset portfolios that were investigated in the thesis were generated …