We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and … insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from … of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates …

risk of natural hazards. Focusing on long-term debt positions to gauge financial stability implications, the results reveal …

capital requirements for certain institutions, supposedly based on their contribution to systemic risk. Global Systemically … measure the marginal contribution to systemic risk of 26 G-SIBs using the Distressed Insurance Premium methodology proposed by …

This paper proposes a methodology to analyze the implications of the Advanced Measurement Approach (AMA) for the … assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the … all business lines and event types. In a second phase, our models are used to estimate the effects of operational risk …

This paper tackles the issue of risk governance of the banking sector. Since the 2007 financial crisis, there has been … an increased awareness of risk governance in the banking sector. The importance of banking to the economy is such that … determine their own level of risk. Yet, the recent crisis has prompted a need to examine fundamentally the governance of risk …

; (iii) a novel set of climate-specific models to capture the direct and indirect transmission channels of climate risk …

to force banks to develop adequate internal risk management procedures while taking a largely agnostic approach as to … downplay risk, while large financial institutions gain a significant advantage and the distribution of responsibility between …-grained guidance on how banks should evaluate climate risk. Although we broadly think this approach is the more effective route to …

regulation created an environment prone to excessive risk-taking: capital buffers were too small; the quality of capital was …-border banks. The creation of the European Systemic Risk Board is welcome. To improve cross-border supervision, the European …

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular … cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures … granular risk indicators adds to the overall transparency of the market in the context of risk monitoring. …

-term transition scenarios, we document a significant variance among banks in their risk exposure, with the most exposed institutions …