EMEs - to satisfy their Value-at-Risk constraints - in response to uncertainty shocks, borrowing costs increase and …

This paper presents a possible solution to financial crises by addressing the core of the problem of systemic risk. To … get there, it first illustrates a number of crises related situations before the definition of systemic risk is detailed …. It then explains challenges of systemic risk and solutions on an institutional level before the consequences for micro …

participants, our framework studies security repurchase agreements between risk-averse borrowers and lenders. In this manner, repo … agreements are part of an efficient risk-sharing arrangement. In turn, properties of the agreements depend on environmental … conditions such as the degree of risk aversion, default risk, and the market value of collateral. Previous work based upon risk …

The risk-return trade-off implies that a riskier investment should demand a higher expected return relative to the risk …-free return. The approach of Ghysels, Santa-Clara, and Valkanov (2005) consisted of estimating the risk-return trade-off with a … safety indicator separates the traditional risk-return relationship from financial crises which amount to fundamental changes …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

Climate change has been recently recognised as a new source of risk for the financial system. Several financial …) challenge traditional approaches to macroeconomic and financial risk analysis. Embedding climate change in macroeconomic and … supervisors about the integration of climate change considerations in financial risk assessment …

model falls apart. Under traditional valuation methods, risk is divided into systematic and unsystematic risk. But there is … another way to look at risk, and that is whether it is exogenous or endogenous. Exogenous risk represents risks found outside … the financial system, and it is taken into account when doing fundamental analysis. Endogenous risk, on the other hand, is …

Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors … could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed … systemic default risk indicators using the information embedded in single-tranche standardized collateralized debt obligations …

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … strengthening risk management practices. Future research could explore the sensitivity of the CoVaR to diferent weighting schemes …

apply to the United Kingdom. We identify 29 indicators of financial stability risk, drawing from the literature on early …