We construct a network-based turbulence score that proves useful for analyzing the relationship between financial interconnectedness, and global market risk, and for identifying systemically important markets, with the highest contribution to financial turbulence. We apply our measure to study...

The paper examines the relationships among market assets during stressful times, using two recently proposed econometric modeling techniques for tail risk measurement: the extreme downside hedge (EDH) and the extreme downside correlation (EDC). We extend both measures taking into account the...

Robot advisory services are rapidly expanding, responding to a growing interest people have in directly managing their savings. Robot advisors may reduce costs and improve the quality of the service, making user involvement more transparent. However, they may underestimate market risks,...

We present a statistical model which can be employed to understand the contagion dynamics of the COVID-19. The model is a Poisson autoregression, and can reveal whether contagion has a trend, and where is each country on that trend. Model results are presented from the observed series of China,...

We use a unique cross-country dataset at the loss event level to document the evolution and characteristics of banks' operational risk. After a spike following the great financial crisis, operational losses have declined in recent years. The spike is largely accounted for by losses due to...

The paper aims to assess, from an empirical viewpoint, the advantages of a stablecoin whose value is derived from a basket of underlying currencies, against a stablecoin which is pegged to the value of one major currency, such as the dollar. To this aim, we first find the optimal weights of the...

Explainability of artificial intelligence models has become a crucial issue, especially in the most regulated fields, such as health and finance. In this paper, we provide a global explainable AI model which is based on Lorenz decompositions, thus extending previous contributions based on...

Financial contagion among countries can arise from different channels, the most important of which are financial markets and bank lending. The paper aims to build an econometric network approach to understand the extent to which contagion spillovers (from one country to another) arise from...

This paper investigates how banking system stability is affected when we combine Islamic and conventional finance under the same roof. We compare systemic resilience of three types of banks in six GCC member countries with dual banking systems: fully fledged Islamic banks (IB), purely...