The Global Financial Crisis had a severe impact on the commodity markets on top of the well-known effects on the worldwide economy. Not only the demand for commodities decreased severely thereby hurting the creditworthiness of participants in the wholesale commodity markets, but also the...

The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as well as the Basel Accords. The study is aimed at presenting the evolution and critique of risk measures and risk models in banking, with a special focus on the dynamically...

This study examines empirically how risk management, financial management, and capital management are related to each other in the property/liability insurance industry, thereby reflecting interactions in managerial decisions such as the choice of derivatives and reinsurance use, the allocation...

We estimate a Pareto distribution for loan losses, as an alternative to the commonly used Vasicek distribution, using simulated data. A key assumption in the construction of Vasicek distribution is that firm-level risk is idiosyncratic. It also assumes that firm exposure to systemic risk is...

This thesis develops new methods to assess two types of financial risk. Market risk is defined as the risk of losing money due to drops in the values of asset portfolios. Systemic risk refers to the breakdown risk for the financial system induced by the distress of individual companies. During...

This article responds to calls in the literature for a major shift in approaches to explaining systemic risk. It applies insights from multiple disciplines, but departs from the monistic positivist research orientations of many previous contributions by taking a carefully argued pragmatic...

We explore the design of climate stress tests to assess and manage macro-prudential risks from climate change in the financial sector. We review the climate stress scenarios currently employed by regulators, highlighting the need to (i) consider many transition risks as dynamic policy choices;...