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 …

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 …

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 …

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 …

Historical evidence like the global financial crisis from 2007-09 highlights that sector concentration risk can play an … II consider only name concentration risk explicitly in their solvency capital requirements for asset concentration risk … and neglect sector concentration risk. We show by means of US insurers' asset holdings from 2009 to 2018 that substantial …

portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …

Motivated by the variety of bank risk proxies, our analysis reveals that nonperforming assets are a well …-suited complement to the Z-score in studies of bank risk. …

) risk. It builds on a manually collected set of data on FX positions and the maturity structure of assets and liabilities of … average, face no liquidity risk and that exposure to FX risk is lower than commonly assumed. Linking risk exposure to … institutional characteristics, I find that legal status and regional affiliation are correlated with risk exposure while regulatory …

Recent developments in Turkish derivatives markets demonstrate the increasing importance of risk management not only … for individual banks but also for the entire system. In this context, this study analyzes the counterparty credit risk of … banks hold. Thus, the portfolio consists of vanilla swaps, which dominate banks' transactions. By simulating market risk …

Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III … Accord which use Value-at-Risk (VaR) with scenario analysis as the risk measures for setting capital requirements. We argue a … good external risk measure should be robust with respect to model misspecification and small changes in the data. A new …