-carbon economy, namely, orderly transition, disorderly transition, and no transition (hot house world). We describe three systemic … risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market … returns: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall …

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

integration of new datasets and model validation efforts as well as the expanded use of stress-testing methodologies in risk and …

Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk … default risk of STOXX Europe 600 firms. For about 5% of the sample firms, we find asset devaluation shocks larger than 30% and … stress test on credit risk based on these results, we find a decrease in capital ratios between $$-1.2$$and $$-1 …

This paper examines the relationship between systemic risk measures across 546 financial institutions in major … conditional VaR (CoVaR) for the financial institutions and verify the interdependence between the systemic risk and oil, both on a … improvement in the systemic risk measurement. The results provide evidence in favour of risk measurement improvements by …

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 …

Part I. New Trends in International Financial Development and Risk Assessment -- Chapter 1. Adapted Approaches to … Pertseva , Anna Vityazeva -- Chapter 3. Dynamic BRICS Stock Market Linkages as a Channel of Systemic Risk Transmission … Emerging Markets’ Risk Management -- Chapter 6. New Ways of Measuring Catastrophic Risk Vigen Minasyan -- Chapter 7. Measuring …

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 …