Systemic risk arises when shocks lead to states where a disruption in financial intermediation adversely affects the economy and feeds back into further disrupting financial intermediation. We present a macroeconomic model with a financial intermediary sector subject to an equity capital constraint. The novel aspect of our analysis is that the model produces a stochastic steady state distributi...

The proposed New Accord (Basel II) established by the Basel Committee on Banking Supervision calls for an explicit treatment of operational risk. Banks are required to demonstrate their ability to capture severe tail loss events. Value at risk is a risk measure that could be used to derive the necessary regulatory capital. Yet operational loss data typically exhibit irregularities which complic...

BACKGROUND Sensitive general cardiometabolic risk assessment tools of modifiable risk factors would be helpful and practical in a range of primary prevention interventions or for preventive health maintenance. PURPOSE To develop and validate a cumulative general cardiometabolic risk score that focuses on non-self-reported modifiable risk factors such as glycosylated hemoglobin (HbA1c) and BMI...

We document substantial practitioner interest in measures of the downside tail risk of hedge funds, such as maximum drawdown (MDD) and worst one-period loss, together with a general sentiment that “classical” performance measures such as the Sharpe Ratio do not convey enough information about tail risk. We characterize the nite-sample distribution of these measures and show that it depends line...

The paper overviews the application of existing actuarial techniques to operational risk. It considers how, working in conjunction with other experts, actuaries can develop a new framework to monitor/review, establish context, identify, understand and decide what to do in terms of the management and mitigation of operational risk. It suggests categorisations of risk to help analyses and propose...

ADVERTIMENT. La consulta d’aquesta tesi queda condicionada a l’acceptació de les següents condicions d'ús: La difusió d’aquesta tesi per mitjà del servei TDX (www.tdx.cat) i a través del Dipòsit Digital de la UB (diposit.ub.edu) ha estat autoritzada pels titulars dels drets de propietat intel·lectual únicament per a usos privats emmarcats en activitats d’investigació i docència. No s’autoritza ...