the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since … reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The … results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers. …

We examine the systemic risk of 61 SIFIs (i.e., 33 G-SIBs and 28 IAIGs) between 2010 and 2023. We estimate SIFI’s CoVaR … using a single index model with LASSO variable selection and construct a set of tail risk network-based systemic risk …’s systemic risk. We also find that the systemic risk of G-SIB Grangerly causes the systemic risk of IAIG, but not vice versa. Our …

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. …

ante uncertainty about the borrower's performance - the risk that the borrower will default on the loan - in the contract … with covenants featuring the financial measure most informative of borrower debt value and default risk. The results … suggest that financial covenants limit the risk of making loans to borrowers with uncertain future performance …

We examine how a firm's operational slack is associated with current income and future stock price crash risk. By doing … Slack, which is based on excess working capital, is associated with higher current profits and higher future crash risk …, general, and administrative expenses, is associated with lower current income and lower future crash risk. This evidence is …

) risk. Using manually collected data from microfinance institutions' financial reporting, I find that the microfinance … sector faces minimal liquidity risk, high interest rate risk and a lower than commonly assumed exposure to FX risk. Linking … risk exposure to institutional characteristics, the data shows that legal status and regional affiliation are correlated …

This paper investigates factors associated with high quality Enterprise Risk Management (ERM) programs in financial … risk. Challenged by measurement difficulties common to research on management control systems, prior ERM studies present … quality controls that integrate risk management efforts across the firm, enabling better oversight of managers' risk …

quantify the resulting liquidity risk in a calibrated model of surrender decisions and insurance cash flows. Simulations …