The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a representative s...
The aim of this essay is to provide an overview of the Financial Stability Board’s (FSB) mandate and tools to safeguard financial stability and reduce systemic risks based on the methodological perspective of a legal analysis. It examines some of the...
The world has entered the digital economy era. As a developing country, China's banking industry plays an important role in the financial industry, and its size ranks first in the world. Therefore, it is of great significance to study the systemic ri...
Systemic risks have to be vigilantly guided against at all times in order to prevent their contagion across stock markets. New policies also may not work as desired and even induce shocks to market, especially those emerging ones. Therefore, timely d...
Critical imbalances and threshold exceedances can trigger a disruption in a network of interdependent systems. An insignificant-at-first-glance shock can induce systemic risks with cascading catastrophic impacts. Systemic risks challenge traditional...
The analysis and prediction of systemic financial risks in the US during the COVID-19 pandemic is of great significance to the stability of financial markets in the US and even the world. This paper aims to predict the systemic financial risk in the...
As a cornerstone of the modern financial safety net, the Lender of Last Resort (LOLR) is essential in mitigating liquidity crises and containing financial contagion. However, during periods of economic stability, risk-taking incentives in the banking...
The regional systemic financial risks driven by escalating urban housing prices have been of great concern recently. Based on the theoretical analyses on the mechanism of formation of regional systemic financial risk driven by urban housing price flu...
In this paper, we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system. Our allocation...
Much of the existing research on banking systemic risk focuses on static single-risk exposures, and there is a lack of research on multiple-risk exposures. The reality is that the banking system is facing an increasingly complex environment, and dyna...
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabili...
This study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalizatio...
This paper deals with problems of the development and security of distributed information systems. It explores the challenges of risk modeling in such systems and suggests a risk-modeling approach that is responsive to the requirements of complex, di...
Due to the dynamic nature of the food supply chain system, food supply management could suffer because of, and be interrupted by, unforeseen events. Considering the perishable nature of fresh food products and their short life cycle, fresh food compa...
Navigational obstacles can impede safe vessel operation and cause secondary accidents, necessitating their rapid removal. To conduct these removal operations efficiently, it is necessary to comprehensively assess the effects of obstacles on both coll...
We describe the axiomatic approach to real-valued Systemic Risk Measures, which is a natural counterpart to the nowadays classical univariate theory initiated by Artzner et al. in the seminal paper “Coherent measures of risk”, Math. Finance, (1999)....
Businesses are bombarded with great deals of risks, vulnerabilities, and unforeseen business interruptions in their lifetime, which negatively affect their productivity and sustainability within the market. Such risks require a risk management system...
After the global financial crisis of 2008, the need for risk management arose because it was necessary to minimize the losses in construction management (CM) firms. This was caused by a decreased amount of orders in the Korean CM market, which intens...
This paper develops a simplified agent-based model to investigate the dynamics of risk transfer and its implications for systemic risk within financial networks, focusing specifically on credit default swaps (CDSs) as instruments of risk allocation a...
The Covid-19 pandemic has brought about a heavy impact on the world economy, which arouses growing concerns about potential systemic risk, taking place in countries and regions. At this critical moment, it makes sense to interpret the systemic risk f...
Scientific discussions have emphasized that the main problem with the current deposit insurance system is that the current system does not evaluate the risks that banks assume to calculate the deposit insurance premiums in many countries of the Europ...
Mariculture is playing an important role in food safety, acting as strong complement to marine fishery. As a typical capital intensive and high-risk sector, mariculture mutual insurance is important for ensuring the stability and sustainability of ma...
This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the s...
Risk management strives to reach the standards of theoretical systematicity and empirical precision achieved in natural science models. To this end, a set of risk-informed and performance-based standards was developed in the form of statistically val...
23 July 2020
Due to their characteristics and multiple objectives, high-speed rail (HSR) projects carry more complex risks than conventional projects and high correlation and conductivity are among the associated risk factors. Previous risk assessment frameworks...
18 March 2022
Artificial intelligence can be used to realise new types of protective devices and assistance systems, so their importance for occupational safety and health is continuously increasing. However, established risk mitigation measures in software develo...
This paper proposes a model of the dynamics of credit contagion through non-performing loans on financial networks. Credit risk contagion is modeled in the context of the classical SIS (Susceptibles-Infected-Susceptibles) epidemic processes on networ...
We provide a methodology to estimate a global credit risk factor from credit default swap (CDS) spreads that can be very useful for risk management. The global risk factor (GRF) reproduces quite well the different episodes that have affected the cred...
The banking crisis experienced at the beginning of 2023 in the aftermath of the global 2008 crisis served as a stark reminder of the importance of systemic risk once again across the world. This study examines the dynamics of systemic risk in the Tur...
We address the paradox that financial innovations aimed at risk-sharing appear to have made the world riskier. Financial innovations facilitate hedging idiosyncratic risks among agents; however, aggregate risks can be hedged only with liquid assets....
This paper provides a rationale for the macro-prudential regulation of insurance companies, where capital requirements increase in their contribution to systemic risk. In the absence of systemic risk, the formal model in this paper predicts that opti...
The Moroccan banking system suffered a significant impact due to the extreme market conditions caused by the COVID-19 outbreak, which led to an increase in non-performance loans. This, in turn, reduced the value of banks’ assets and their abili...
Battlefields contain complex networks of electromagnetic (EM) systems, owned by adversary/allied military forces and civilians, communicating intentionally or unintentionally. Attacker’s strategies may include Intentional EM Interference (IEMI)...
The overall aim of this article is to contribute to the further development of the area of benchmarking in risk management. The article introduces a two-step benchmarking model to assess the efficacy of ISO risk management systems. It furthermore aim...
Digital transformation is increasingly central to the development of transport systems, yet current research offers limited guidance on how digital maturity levels shape operational risk. Existing digital maturity models primarily support benchmarkin...
29 November 2021
Three key challenges to a whole-system approach to process improvement in health systems are the complexity of socio-technical activity, the capacity to change purposefully, and the consequent capacity to proactively manage and govern the system. The...
In this paper, we present a multilevel fuzzy inference model for predicting the risk of type 2 diabetes. We have designed a system for predicting this risk by taking into account various factors such as physical, behavioral, and environmental paramet...
This paper is devoted to studying the influence of the structure of a complex system on its integral risk. When solving risk management problems, it often becomes necessary to take into account structural effects, which most often include risk transf...
This study develops and applies the Financial Risk Meter (FRM) for Kuwait, a novel measure of systemic risk tailored for a commodity-dependent emerging economy. Using Lasso quantile regression, the FRM captures tail-event co-movements among key finan...
In this paper, we measure the systemic risk with a novel methodology, based on a “spatial-temporal” approach. We propose a new bank systemic risk measure to consider the two components of systemic risk: cross-sectional and time dimension....
This paper investigates the systemic risk contributions of each financial institution during the stock market crash in China using systemic risk beta. Based on the FARM-Selection (Factor Adjusted Regularized Model Selection) approach, we calculate th...
This paper presents a novel integration of System-Theoretic Process Analysis (STPA) and System Dynamics (SD) for hazard and resilience analysis in safety-critical infrastructure systems. The methodology is applied iteratively to assess the safety and...
This study is based on the stock returns of 11 subindustry markets in the international clean energy market from 2010 to 2024 and constructs a skewed t distribution dynamic factor copula model. The time-varying load factor is used to characterize the...
It is generally accepted that China’s Employees Basic Pension System (CEBPS) cannot cover its expenses. The government needs to fill the gap in income and expenditure with fiscal revenue to ensure sustainability of the system, which may cause it to t...
This paper introduces a formal mathematical framework for Digital Risk Twins (DRTs) as an extension of traditional digital twin (DT) architectures, explicitly tailored to the needs of safety-critical systems. While conventional DTs enable real-time m...
One of the problems of risk analysis of complex engineering systems is the uncertainty of initial information about the time and damage associated with occurrence and development of the risk situation. The paper proposes a methodology and procedure f...
In this paper, we propose a new class of systemic risk measures, which we refer to as strong comonotonic additive systemic risk measures. First, we introduce the notion of strong comonotonic additive systemic risk measures by proposing new axioms. Se...
The failure of major banks in 2023, such as Silicon Valley Bank (SVB), Signature Bank, First Republic Bank, and Credit Suisse, points to the continuing need for financial institutions to price liquidity risk properly and for financial systems to find...
The research of financial systemic risk is an important issue, however the research on the financial systemic risk in ASEAN region lacks. This paper uses the minimum density method to calculate the interbank network of ASEAN countries and uses the no...
The increased complexity of the transmission grid can endanger the operational security of the grid. Operational risk assessment, a stochastic tool, helps to enhance security. Contingency analysis and its impact quantification are the main constituen...
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