Technical paper/Financial institution
Cyber risk assessment model for information assets: a tailored approach for the financial and banking sector
The authors present a novel model risk assessment model designed specifically for cyber risks and information assets,
Unveiling multiscale dynamics: exploring financial risk spillover and influencing factors among Chinese financial institutions
Just solve it: a simple method to improve the design and performance of liquidity-saving mechanisms
Nonbanking financial institutions and sustainability issues: empirical evidence on the impact of environmental, social and governance scores on market performance
Transmission of cyber risk through the Canadian wholesale payment system
The authors investigate how a paralyzing cyber attack on one or more banks would spread to other banks through the Canadian wholesale payment system and simulate various scenarios, evaluating the total disruption to the payment system.
A new automated model validation tool for financial institutions
The authors put forward a novel automated validation tool, based on US Federal Reserve and Office of the Comptroller of the Currency regulatory guidance, which is used to to validate predictive models for financial organizations.
Agency problems in multinational banks: does parent complexity affect the risk-taking of subsidiaries?
This paper empirically reviews the relationship between the geographical complexity of parent-groups and the risk-taking behavior of subsidiaries using a panel of data for Polish domestically owned and foreign-owned banks covering the years 2008–17.
Time-varying tail dependence networks of financial institutions
In this paper time-varying tail dependence networks are constructed to investigate the complex interdependencies in the financial system.
Retail payments and financial inclusion in Latin America and the Caribbean: identifying gaps and opportunities
The payment aspects of financial inclusion (PAFI) framework, set up by the Committee on Payments and Market Infrastructures and the World Bank in 2016, recommends a set of actions to spur financial inclusion by means of improvements in the retail payment…
Estimating the contagion effect through the portfolio channel using a network approach
This work studies contagion risk through the portfolio investment channel using network analysis and simulation on bilateral cross-country data.
Hedging incentives for financial institutions
Using a simple model, this paper derives two results that provide guiding principles for hedging by, and capital regulation of, financial institutions.
Quantification of the estimation risk inherent in loss distribution approach models
In this paper, the authors contribute to the measurement of model risk by focusing on the quantification of estimation risk.
Study of correlation impact on credit default swap margin using a GARCH–DCC-copula framework
In this paper, the authors establish generalized autoregressive conditional heteroscedasticity–dynamic conditional correlation (GARCH–DCC) and constant conditional correlation (CCC) copula model frameworks to study time-varying correlation among credit…
Static and dynamic risk capital allocations with the Euler rule
This paper studies the volatility of the Euler rule for capital allocation in static and dynamic empirical applications with a simulated history.
Model risk management: from epistemology to corporate governance
In this paper, the authors conduct an analysis of model risk in an attempt to understand the main issues that lead to failures and the best way to address such issues.
Rating migrations of US financial institutions: are different outcomes equivalent?
This study employs a competing risks approach to examine the rating migrations of US financial institutions (FIs) during the period 1984–2006.
Default cascades and systemic risk on different interbank network topologies
This paper examines the relationship between the topology of interbank networks and their ability to propagate localized, idiosyncratic shocks across the banking sector via banks’ interbank claims on one another.
An alternative approach for the operational risk assessment of a new product
The aim of this paper is to provide a new operational risk management framework to identify and mitigate the operational risk exposure arising from a new product.
Operational risk: a forgotten case study
This paper is a historical case study of the GAS scandal and is the first to analyze it from the perspective of operational risk.
Distributed ledger technology in payments, clearing and settlement
This paper examines how DLT can be used in the area of PCS, and identifies both the opportunities and challenges associated with its long-term implementation and adoption.
Operational risk and the three lines of defence in UK financial institutions: is three really the magic number?
This paper examines the three lines of defence in the context of ORM in UK financial institutions.