The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure...

Banks calculating capital requirements for credit risk based on internal ratings according to the Basel framework must add a margin of conservatism to their estimates of probability of default (PD). This margin shall, at a minimum, cover the statistical uncertainty related to the estimation. A...

We study how foreign financial developments influence the conditional distribution of domestic GDP growth. Within a quantile regression setup, we propose a method to parsimoniously account for foreign vulnerabilities using bilateral-exposure weights when assessing downside macroeconomic risks....

The rising uncertainty in financial markets in the last 40 years has led to the creation of new financial indices that will enable these uncertainties to be defined and measured. For this purpose, the first volatility index created was the VIX Index as an indicator of uncertainty in the stock...

There needs to be more research on the global risks and developmental determinants of foreign direct investment inflow with green investment campaigns. This article presents new evidence covering 116 countries (2018-2020) using least squares regression. We show that ceteris paribus, higher...