The Federal Reserve Bank of Chicago's supervision group follows current and emerging risk trends on an on-going basis. This Risk Perspectives newsletter is designed to highlight a few current risk topics and some potential risk topics on the horizon for the Seventh District and its supervised...

The notion “risk governance” refers to an integrated concept on how to deal with public risks in general, and so-called complex, ambiguous and uncertain risks in particular. These ideas have been informed by interdisciplinary research drawing from sociological and psychological research on...

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...

Infections with parasitic helminths (nematodes and trematodes) represent a significant economic and welfare burden to the global ruminant livestock industry. The increasing prevalence of anthelmintic resistance means that current control programmes are costly and unsustainable in the long term....

Vertical coordination is a form of price risk management which mitigates the negative effects of hog cycle, associated with price and supply fluctuations on the pig market and is aims to stabilize farm incomes. It can take the form of contracts or full vertical integration, however the level of...

Determinants of default risk of banks in emerging economies have so far received inadequate attention in the literature. Using panel data techniques, this paper seeks to examine the impact of macroeconomic and endogenous factors on non-performing assets for the period from 1997-2009. The...

We analyse the structural aspects of the banking Risk Appetite Framework (RAF), providing an operational application in the light of the detailed recommendations of the banking supervisors. We develop a quantitative approach that could be used to adapt to the requirements of these regulations...

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...

This paper investigates the most appropriate model for generating scenarios for daily foreign exchange rates for a long history of a large number of daily exchange rates and finds: returns are not normal; a mean reversion model is rarely appropriate; sampling from historical returns (natural log...