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This master’s thesis studies the systemic risk of the hedge funds industry through a model developed and used by van Oordt and Zhou (2019a, 2019b). This model measures systemic risk by splitting it into two components: the Pure Tail Risk, defined as the relative tail exposure towards the whole financial system approximated by the S&P500, and the Systemic Linkage, which represents the probabilistic link of the extreme negative returns between the hedge funds and that proxy. Our first intended contribution resides in the explanation and the reconciliation of these two measures, the downside risk­related component and the tail dependence aspect, into one single metric. Our second contribution relates to innovations brought in the estimation method, which relies on Extreme Value Theory to overcome the scarcity of data and the low frequency of reporting inherent to the hedge funds databases. In order to do so, we implement a LASSO-­Generalized Pareto Regression for tail exposure explanations and use copula distributions for tail dependence measurement.Our work provides several new insights. We observe a significant positive correlation be­tween liquidity and systemic risk indicators, which highlights the link between shadow bank­ing, hedge funds and systemic risk. Moreover, a larger fund size and a longer advance notice act as systemic risk reducers, while the lockup period drives up the systemic threat. Driven by the Pure Tail Risk, the results show an increase of the systemic risk during period of stability such as the period of 2003 to 2006 and after the 2008 crisis. Coupled with the high commonal­ity of the industry in such periods, observed by Bussière et al. (2014) between 2003 and 2006, our findings highlight the potential threat that hedge funds bring to the stability of the financial system. We uncover a common dynamic behaviour of hedge fund strategies over time, even though Equity Hedge and Event Driven hedge funds show significantly higher values. This re­sults is all the more important given that we observe that the Equity Hedge strategy represents the largest fraction of the industry. Finally, our model stresses a shift of the hedge funds tail risk dynamic after the 2008 crisis, showing a genuine potential for future research.As a result, we believe that our efforts to identify and explain the systemic risk of the hedge funds industry and its components have led to insightful results, which point to an increasing need for an adapted regulation.

Finance --- Hedge funds --- Systemic risk --- Value-at-risk --- Tail dependence --- Shadow banking --- Sciences économiques & de gestion > Finance

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This Special Issue covers the topic of timely vital risk management - systemic risk - from many important perspectives. It includes novel and scientific approaches from the network with topological indicators on systemic risk, community analysis of the global financial system, welfare analysis of capital insurance and the impact of capital requirement, risk measures, and optimal portfolio and optimal reinsurance under risk constraint. Most articles study the financial sector and insurance companies after the financial crisis of 2008–2009 circa ten years prior. The COVID-19 global pandemic in 2020 has caused similar or even greater challenges for the entire economy. Therefore, this Special Issue will be useful for anyone interested in systemic risk management.

Coins, banknotes, medals, seals (numismatics) --- optimal reinsurance --- general risk measure --- risk sharing --- systemic risk --- capital insurance --- welfare --- equilibrium --- conditional value-at-risk --- mean-CVaR portfolio optimization --- risk minimization --- Neyman–Pearson problem --- interconnectedness --- financial conglomerate --- contagion --- capital requirement for premium risk --- collective risk model --- reinsurance strategies --- Solvency II --- community structure --- complex networks --- financial markets --- insurance sector --- deltaCoVaR --- minimum spanning trees—topological indicators --- tail dependence

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This Special Issue covers the topic of timely vital risk management - systemic risk - from many important perspectives. It includes novel and scientific approaches from the network with topological indicators on systemic risk, community analysis of the global financial system, welfare analysis of capital insurance and the impact of capital requirement, risk measures, and optimal portfolio and optimal reinsurance under risk constraint. Most articles study the financial sector and insurance companies after the financial crisis of 2008–2009 circa ten years prior. The COVID-19 global pandemic in 2020 has caused similar or even greater challenges for the entire economy. Therefore, this Special Issue will be useful for anyone interested in systemic risk management.

Coins, banknotes, medals, seals (numismatics) --- optimal reinsurance --- general risk measure --- risk sharing --- systemic risk --- capital insurance --- welfare --- equilibrium --- conditional value-at-risk --- mean-CVaR portfolio optimization --- risk minimization --- Neyman–Pearson problem --- interconnectedness --- financial conglomerate --- contagion --- capital requirement for premium risk --- collective risk model --- reinsurance strategies --- Solvency II --- community structure --- complex networks --- financial markets --- insurance sector --- deltaCoVaR --- minimum spanning trees—topological indicators --- tail dependence

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Developing techniques for assessing various risks and calculating probabilities of ruin and survival are exciting topics for mathematically-inclined academics. For practicing actuaries and financial engineers, the resulting insights have provided enormous opportunities but also created serious challenges to overcome, thus facilitating closer cooperation between industries and academic institutions. In this book, several renown researchers with extensive interdisciplinary research experiences share their thoughts that, in one way or another, contribute to the betterment of practice and theory of decision making under uncertainty. Behavioral, cultural, mathematical, and statistical aspects of risk assessment and modelling have been explored, and have been often illustrated using real and simulated data. Topics range from financial and insurance risks to security-type risks, from one-dimensional to multi- and even infinite-dimensional risks.

insurance --- n/a --- multiplicative background risk model --- renewal process --- dual risk model --- collective risk model --- risk measure --- aggregate risk --- Laplace transform --- transfer function --- risk management --- risk theory --- maximal tail dependence --- constant interest rate --- partial integro-differential equation --- reinsurance --- financial time series --- spatial risk measures and corresponding axiomatic approach --- central limit theorem --- integral equation --- Markovian arrival process --- systematic risk --- information processing --- discounted aggregate claims --- surplus process --- weighted cuts --- rate of spatial diversification --- national culture --- operational risk --- covariance --- cumulative Parisian ruin --- spatial dependence --- background risk --- survival analysis --- Monte Carlo --- aggregate discounted claims --- stochastic orders --- order statistic --- max-stable random fields --- copulas --- hazard model --- multivariate gamma distribution --- copula --- advanced measurement approach --- concomitant --- archimedean copulas --- rating migrations --- ruin probability --- clustering --- confidence interval --- individual risk model --- numerical approximation --- value-at-risk

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In the current competitive scenario, the banking industry must contend with multiple challenges tied to regulations, legacy systems, disruptive models/technologies, new competitors, and a restive customer base, while simultaneously pursuing new strategies for sustainable growth. Banking institutions that can address these emerging challenges and opportunities to effectively balance long-term goals with short-term performance pressures could be aptly rewarded. This book comprises a selection of papers addressing some of these relevant issues concerning the current challenges and opportunities for international banking institutions. Papers in this collection focus on the digital transformation of the banking industry and its effect on sustainability, the emergence of new competitors such as FinTech companies, the role of mobile banking in the industry, the connections between sustainability and financial performance, and other general sustainability and corporate social responsibility (CSR) topics related to the banking industry. The book is a Special Issue of the MDPI journal Sustainability, which has been sponsored by the Santander Financial Institute (SANFI), a Spanish research and training institution created as a collaboration between Santander Bank and the University of Cantabria. SANFI works to identify, develop, support, and promote knowledge, study, talent, and innovation in the financial sector.

Economics, finance, business & management --- stimulus-response model --- utilitarian value --- Hedonic value --- salesperson selling behaviors --- customer satisfaction --- loan expansion --- GDP --- NPL --- ARDL --- VECM --- Johansen test of co-integration --- unit root --- non-performing loans --- sovereign debt distress --- tail dependence --- gaussian copula regression --- mobile financial services (MFS) --- trust --- perceived risk --- structural equation modeling (SEM) --- multiple-criteria decision-making (MCDM) --- technique for order preference by similarity to ideal solution (TOPSIS) --- analytic hierarchy process (AHP) --- data envelopment analysis --- commercial banks --- product innovation --- performance evaluation --- innovation risk --- digital financial inclusion --- risk-coping ability --- vulnerability to poverty --- instrumental variable estimation --- emotional intelligence --- work-family conflict --- job burnout --- employees’ turnover intention --- perceived organizational support --- the Vietnamese banking industry --- stochastic DEA --- multi-attribute decision making --- ordinal variable --- cross-efficiency --- corporate social responsibility disclosure (CSRD) --- financial performance --- Islamic Banking Industry of Pakistan --- GRI --- AAOIFI --- CSRD index --- cost of equity --- IFRS adoption --- European banks --- corporate governance --- banking regulation --- CSP–CFP relationship --- banking sustainability --- glass ceiling --- board composition --- equal opportunity policy --- CSR --- communication --- discourse --- exposition --- narrative --- storytelling --- banking --- catering --- utilitarian service --- hedonic service --- sustainable finance --- sustainable financial products --- sustainable banking --- SDGs --- sustainable development --- Latin America --- ESG. --- digital transformation --- knowledge management --- digital government --- public sector --- public administration --- peer-to-peer lending --- bank risk --- insolvency risk --- illiquidity risk --- financial inclusion --- vulnerable rural areas --- sustainable solutions --- central bank digital currency --- social sustainability --- pharmacy network --- sustainable access to cash --- nonperforming loans --- macroeconomic factors --- econometric model --- exchange rate --- unemployment rate --- inflation rate --- MoM(micro-operating mechanism) --- regulatory sandbox --- fintech --- type by enterprise --- innovation competencies --- patents data --- evidence-based policy --- European financial services --- SMEs --- nonfinancial information --- sustainable reporting --- disclosure --- lexical analysis --- nonfinancial reporting --- dynamic provisioning --- macroprudential supervision --- counter-cyclical adjustment --- innovative solution --- mobile banking --- Nigeria --- sub-Saharan Africa (SSA) --- qualitative meta-synthesis (QMS) --- banking industry --- value in use approach --- FinTech innovation --- valuation --- patent application --- market power --- efficiency --- profitability --- risk --- CBDC --- digital currency --- bank run --- central bank --- economic sustainability --- organizational ambidexterity --- blended ambidexterity --- innovation process --- buy-now-pay-later --- regulatory failure --- regulation --- consumer behaviour --- bank --- barriers --- digitalisation --- management --- perception --- transformation --- social media --- admiration --- consumer loyalty --- sustainability