of business. The concern was apparently brevity risk, i.e., the risk of premature death. The brevity risk due to a … pandemic is similar to the property risk associated with catastrophic events such as earthquakes and hurricanes and the … security used to hedge the risk is similar to a CAT bond. This work looks at the incentives associated with insurance …

Climate change can be a source of financial risk. This paper examines how credit rating agencies accepted by the … Eurosystem incorporate climate change risk in their credit ratings. It also analyses how rating agencies disclose their … change risk, the transparency around models and methods used to estimate the exposure to climate change risk and the …

This paper analyzes the impact of US firms’ equity risk on bank lending standards and on the macroeconomy for two … groups: small and medium-large firms. The results indicate that a higher level of firm risk leads to a higher percentage of …-large firms. The finding provides support for the Risk Management Hypothesis, under which banks decrease lending to risky …

Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk … default risk of STOXX Europe 600 firms. For about 5% of the sample firms, we find asset devaluation shocks larger than 30% and … stress test on credit risk based on these results, we find a decrease in capital ratios between $$-1.2$$and $$-1 …

We investigate the impact of counterparty risk on contract design in the reinsurance market. We study a multiplicative … default risk model, with partial recovery and where the probability of the reinsurer's default depends on the loss incurred by … the insurer. The seller is assumed to be risk-neutral while the buyer is risk-averse and uses either expected utility or …

We study the optimal design of clearing systems. We analyze how counterparty risk should be allocated, whether traders … should be fully insured against that risk, and how moral hazard affects the optimal allocation of risk. The main advantage of … centralized clearing, as opposed to no or decentralized clearing, is the mutualization of risk. While mutualization fully insures …

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

distribution is modeled with discounted compound Poisson process. Esscher transform is chosen for a risk adjusted measure change …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the … periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However … the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and …