-carbon economy, namely, orderly transition, disorderly transition, and no transition (hot house world). We describe three systemic … risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market … returns: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall …

around the world to ensure global competitiveness of banks. Using an agent-based model of the financial system, we find that …

measures allow us to rank firms in terms of risk connectedness and firm characteristics. We present a general systemic risk …. Second, the systemic risk in the financial sector built–up from early 2005, peaked in September 2008, and greatly reduced … after the introduction of TARP and the rescue of AIG. Anxiety about European debt markets saw the systemic risk begin to …

investment funds provide important intermediation services to the real sector, including market and liquidity risk-sharing and … managed. In particular, the risk of fund outflows and the possible negative impacts on the wider financial system have risen … sectors' contribution to systemic risk. …

markets during crisis (limiting contagion on cleared instruments). The post-crisis reforms favored CCPs as risk minimizers … desk research and content analysis, the risks of CCPs were derived.Conclusions / findings: CCPs are not risk minimizers …, but they are risk managers (redistributors). Moreover, due to the significant increase in the their importance for the …

-2009 financial crisis, research has also paid more attention to systemic risk and the impact of financial institutions on systemic … risk. As fintech grows, so too should the concern about its possible impact on systemic risk. This paper analyzes two … firms against the financial system to measure their impact on systemic risk. Our results show that at this time fintech …

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in … better risk measurement by accounting for oil returns in the risk functions. The estimated spread between the standard CoVaR … indicates that the drop in oil prices has a longer effect on risk and requires more time to be discounted by the financial …

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 …

We build a non-stationary Hawkes model of sovereign credit risk for seven European countries, and estimate it on CDS … data from the run-up to the Greek default. We model a country's credit risk as partly driven by a weighted combination of … significant. Greece and Portugal are found to be particularly sensitive to external risk, with a Greek default 35% less likely in …

We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed … last financial crisis are between two and three times larger. Our systemic risk measure reaches a peak in the fall of 2007 … but shows a notable increase starting in 2004, ahead of many other systemic risk indicators. Although the largest banks …