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Model Risk of Risk Models Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent …

New Supervisory Guidance on Model Risk Management Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 It has been over ten years since federal regulators issued the first guidance to the banking industry on managing model risk through independent …

Liquidity Risk and Contagion Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 This paper explores liquidity risk in a system of interconnected financial institutions when these institutions are subject to regulatory solvency constraints and mark …

Catastrophic Shocks in the Property-Liability Insurance Industry: Evidence on Regulatory and Contagion Effects Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Natural disasters are conjectured to have two opposing effects on insurance firm values: …

Contagion Risk in Banking Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 A controversial issue in the literature on banking regulation is whether there is contagion risk, or not. This paper derives a framework to test for contagion risk and …

Measuring systemic risk: A risk management approach Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 This paper proposes a new method to measure and monitor the risk in a banking system. Standard tools that regulators require banks to use for their …

Good and bad credit contagion: Evidence from credit default swaps Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 This study examines the intra-industry information transfer effect of credit events, as captured in the credit default swaps (CDS) and …

Contagion Effects in the Insurance Industry Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 This article investigates the valuation effects of equity issuances by insurance companies on rival firms. The literature has documented the existence of …

Discussion: Assessing Systematic Risk in the Insurance Sector Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Powerpoint presentation No category Systemic Risk Contagion Risk Contagion Risk Ivan Alves, Steven Simon Thu, 01/01/2009 - 12:00 Article …

Credit Risk Transfer and Contagion Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Some have argued that recent increases in credit risk transfer are desirable because they improve the diversification of risk. Others have suggested that they may be …

Contagion Risk in the International Banking System and Implications for London as a Global Financial Center Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk …

To Hedge or Not to Hedge: Managing Demographic Risk in Life Insurance Companies Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Demographic risk, i.e., the risk that life tables change in a nondeterministic way, is a serious threat to the financial …