The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as … well as the Basel Accords. The study is aimed at presenting the evolution and critique of risk measures and risk models in … banking, with a special focus on the dynamically developing area of systemic risk measures. A discussion of the features of …

We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a … role in explaining the severity of cyclical and credit risk materialization during financial cycle contractions. Among … these risks, private and public sector indebtedness, banking sector resilience and concentration of real estate exposures …

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor … risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a … the combined risk to each factor and to the effect of their interaction by employing our proposed frequency-based approach …