investigate how the structure of those networks can affect the capacity of regulators to assess the level of systemic risk. We … of systemic risk in terms of expected losses. We further quantify the effects of cyclicality, leverage, volatility and …

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

the choice and use of financial covenants in private and public debt contracts, as well as the role that risk management … covenants linked to performance. Risk management attenuates the effect of uncertainty on the inclusion of financial covenants … while firms characteristics especially related to default risk intensify the effect. In bond contracts, uncertainty …

We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to … pessimistic about other asset classes as well. This means that idiosyncratic risk can create contagion and snowball into systemic … risk. Furthermore, in a Diamond and Dybvig (1983) setting, we show that, surprisingly, uncertainty aversion causes …

This paper presents a methodology to analyze the Value at Risk (VaR) backtesting probability values to detect the … risk that a subportfolio is exposed to in every trading day. The paper presets statistical methods to back test the number …-values using the run test. Finally a model is presented to decompose the subportfolios' P&L risk into systematic and idiosyncratic …

We study theoretically and empirically the demand for micro-credit under different liability arrangements and risk …-liability loans when risk-averse borrowers value their long-term relationship with the lender. Joint liability then offers a way to … diversify risk and to reduce the chance of losing access to future loans. We also show that the demand for loans depends …

empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of … all borrowers. The results of the test supported the hypothesis of portfolio risk pricing and suggest that the spread of … loan required that the spread of loan required by risk-averse lenders is in general higher than the risk premium of the …

In this paper, we explore whether economic uncertainty differently affects the default risk of Islamic and conventional … uncertainty increases the default risk of conventional banks but does not affect Islamic banks’ default risk. To understand why … banks’ default risk is not significantly affected by uncertainty in all types of countries, but such a difference with …

Credit risk is crucial to understanding banks' production technology and should be explicitly accounted for when … modeling the latter. The banking literature has largely accounted for risk by using ex-post realizations of banks' uncertain … outputs and the variables intended to capture risk. This is equivalent to estimating an ex-post realization of bank …

. We use the World Uncertainty Index (WUI) proposed by Ahir et al. (2018) and Geopolitical Risk Index (GPR) introduced by …, the highest impact is observed on corporate loans. Meanwhile, geopolitical risk dampens consumer and mortgage loans but …