This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of …

This handbook examines the latest techniques and strategies that are used to unlock the risk transfer capacity of … contextualises non-traditional risk transfer tools created over the last 20 years. Featuring contributions from distinguished … academics and professionals from around the world, this book covers in detail issues in securitization, financial risk …

This study provides evidence on the existence of a negative Greenium, i.e. a green risk premium, based on European … portfolio exposure to climate risk and hedge against it. We estimate that even in a rather benign scenario, there would be …

Cyber risk is an emerging source of systemic risk in the financial sector, and possibly a macro-critical risk too. It … approaches to assess and monitor cyber risk to the financial sector, including various approaches to stress testing. The paper …

Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable … distribution function can provide a full quantification of risk and stress propagation in the system. However, multivariate … distributions, discussing their estimation from data and proposing novel measures for stress impact and systemic risk in systems …