In a multi-dimensional risk model with dependent lines of business, we propose to allocate capital with respect to the minimization of some risk indicators. These indicators are sums of expected penalties due to the insolvency of a branch while the global reserve is either positive or negative....

The most recent global financial crisis (2008-2009) highlighted the importance of systemic risk and promoted academic interest to develop a wide set of warning indicators, which are mechanisms to identify systemically important institutions and global systemic risk indexes. Using the methodology...

This document presents a set of indicators designed to measure the credit risk implicit in the deposits maintained by domestic financial institutions in foreign countries. It discusses the theoretical definition of the indicators, the software implementation and a case of study based on the...

The financial impact of environment destruction is very important, and entities have to present information concerning the implemented environmental policies, objectives and programs, the expenses made in this field, the met ecological risks. Accounting is the main source of information that...

Leading indicators based on correlations with reference cycles are regularly used to monitor the economy. It would be useful if we could have a quantitative measure of the risk associated with leading indicators forecasts. In this paper, we outline a methodology to develop an index for...

The objective of this paper is to investigate the relationship between financial and economic uncertainty (risk) and the demand for international reserves. In addition, the association between this relationship and the political risk condition is further analysed for selected emerging economies....

This publication consists of fifteen studies on payment and settlement systems conducted using computational or simulation techniques. The studies have been presented at the simulator seminars arranged by the Bank of Finland during the years 2009–2011. The main focus of the studies is on the...

In a multi-dimensional risk model with dependent lines of business, we propose to allocate capital with respect to the minimization of some risk indicators. These indicators are sums of expected penalties due to the insolvency of a branch while the global reserve is either positive or negative....