Shocks to Transition Risk
We propose and implement a method to identify shocks to #transitionrisk addressing key challenges regarding its definition and #measurement. Our shocks are instances where significant new information about the economic relevance of climate change increases the valuation of #greenfirms over #brownfirms. To illustrate our method, we identify shocks to transition risk in the #us. These shocks have important aggregate effects, also inducing #financialinstability. They are […]
The Information Value of Past Losses in Operational Risk
“We show that past operational losses are informative of future losses, even after controlling for a wide range of financial characteristics. We propose that the information provided by past losses results from them capturing hard to quantify factors such as the quality of operational risk controls, the risk culture, and the risk appetite of the bank.” Lire
Climate Risks in the U.S. Banking Sector: Evidence from Operational Losses and Extreme Storms
“… our findings provide new evidence regarding U.S. banking organizations’ exposure to climate risks with implications for risk management practices and supervisory policy.” Lire
Comparative Analysis Regulatory of AI and Algorithm in UK, EU and USA
“The European Artificial Intelligence Board (EAIB) would be established as a new enforcement authority at the Union level. National supervisors will flank EAIB at the Member State level. Fines of up to ‘6% of global turnover, or 30 million euros for individual corporations’ can be imposed.” Lire
The SEC’s Climate Disclosure Risk Proposal Threatens an End-Run around Congress on Climate Policy
“The proposed climate disclosure rule is unnecessary, unjustified, and an expensive exercise in environmental bureaucracy with little to no practical benefit for U.S. investors. The billions of dollars in additional compliance costs would fall on the shareholders, employees, and customers of U.S. public companies, while the benefits would flow to a handful of large asset […]
Operational Loss Recoveries and the Macroeconomic Environment: Evidence from the U.S. Banking Sector
“Our findings offer new evidence on how economic shocks transmit to banking industry losses with implications for risk management and supervision.” Lire
Should Bank Stress Tests Be Fair?
“We argue that simply pooling data across banks treats banks equally but is subject to two deficiencies: it may distort the impact of legitimate portfolio features, and it is vulnerable to implicit misdirection of legitimate information to infer bank identity. We compare various notions of regression fairness to address these deficiencies, considering both forecast accuracy […]
When It Rains, It Pours: Cyber Risk and Financial Conditions
“We observe that cyber vulnerability and other financial shocks cannot be treated as uncorrelated risks and policy solutions for cyber security need to be calibrated for adverse financial conditions.” Lire
A re-examination of the U.S. insurance market’s capacity to pay catastrophe losses
” We show that the U.S. insurance industry’s capacity to pay catastrophe losses is higher in 2020 than it was in 1997. Insurers could pay 98% of a $200 billion loss in 2020 in comparison to 81% in 1997.” Lire