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 …

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 …

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …

risk. These connections lead to two different network structures. In a clustered network groups of financial institutions … expectations are low, they do not roll over the debt and there is systemic risk in that all institutions are early liquidated. We …

risk. In this framework, banking sector distress in the form of the joint probability of default of financial … this dependence of banking sector distress on prevailing financial imbalances can enhance risk surveillance and stress …

We put forward a Merton-type multi-factor portfolio model for assessing banks’ contributions to systemic risk. This … model accounts for the major drivers of banks’ systemic relevance: size, default risk and correlation of banks’ assets as a … proxy for interconnectedness. We measure systemic risk in terms of the portfolio expected shortfall (ES). Banks’ (marginal …