Approaching European Supervisory Risk Assessment with SupTech

Detalhes bibliográficos
Autor(a) principal: Guerra, Pedro
Data de Publicação: 2022
Outros Autores: Castelli, Mauro, Côrte-Real, Nadine
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/136681
Resumo: Guerra, P., Castelli, M., & Côrte-Real, N. (2022). Approaching European Supervisory Risk Assessment with SupTech: A Proposal of an Early Warning System. Risks, 10(4), 1-23. [71]. https://doi.org/10.3390/risks10040071
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spelling Approaching European Supervisory Risk Assessment with SupTechA Proposal of an Early Warning Systembanking supervisionECB risk assessment systemEWSmachine learningrisk assessmentscenario analysissup-techAccountingEconomics, Econometrics and Finance (miscellaneous)Strategy and ManagementSDG 16 - Peace, Justice and Strong InstitutionsSDG 8 - Decent Work and Economic GrowthGuerra, P., Castelli, M., & Côrte-Real, N. (2022). Approaching European Supervisory Risk Assessment with SupTech: A Proposal of an Early Warning System. Risks, 10(4), 1-23. [71]. https://doi.org/10.3390/risks10040071Risk analysis and scenario testing are two of the core activities carried out by economists at central banks. With the increasing adoption of machine learning to enhance decision-support systems, and the amount of collected data spiking, institutions provide countless use-cases for the application of these innovative technologies. Consequently, in recent years, the term sup-tech has entered the financial jargon and is here to stay. In this paper, we address risk assessment from a central bank’s perspective. The uptrending number of involved banks and institutions raises the necessity of a standardised risk methodology. For that reason, we adopted the Risk Assessment Methodology (RAS), the quantitative pillar from the Supervisory Review and Evaluation Process (SREP). Based on real-world supervisory data from the Portuguese banking sector, from March 2014 until August 2021, we successfully model the supervisory risk assessment process, in its quantitative approach by the RAS. Our findings and the resulting model are proposed as an Early Warning System that can support supervisors in their day-to-day tasks, as well as within the SREP process.NOVA Information Management School (NOVA IMS)Information Management Research Center (MagIC) - NOVA Information Management SchoolRUNGuerra, PedroCastelli, MauroCôrte-Real, Nadine2022-04-19T22:45:09Z2022-042022-04-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article23application/pdfhttp://hdl.handle.net/10362/136681eng2227-9091PURE: 43332137https://doi.org/10.3390/risks10040071info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:14:38Zoai:run.unl.pt:10362/136681Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:48:44.739472Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Approaching European Supervisory Risk Assessment with SupTech
A Proposal of an Early Warning System
title Approaching European Supervisory Risk Assessment with SupTech
spellingShingle Approaching European Supervisory Risk Assessment with SupTech
Guerra, Pedro
banking supervision
ECB risk assessment system
EWS
machine learning
risk assessment
scenario analysis
sup-tech
Accounting
Economics, Econometrics and Finance (miscellaneous)
Strategy and Management
SDG 16 - Peace, Justice and Strong Institutions
SDG 8 - Decent Work and Economic Growth
title_short Approaching European Supervisory Risk Assessment with SupTech
title_full Approaching European Supervisory Risk Assessment with SupTech
title_fullStr Approaching European Supervisory Risk Assessment with SupTech
title_full_unstemmed Approaching European Supervisory Risk Assessment with SupTech
title_sort Approaching European Supervisory Risk Assessment with SupTech
author Guerra, Pedro
author_facet Guerra, Pedro
Castelli, Mauro
Côrte-Real, Nadine
author_role author
author2 Castelli, Mauro
Côrte-Real, Nadine
author2_role author
author
dc.contributor.none.fl_str_mv NOVA Information Management School (NOVA IMS)
Information Management Research Center (MagIC) - NOVA Information Management School
RUN
dc.contributor.author.fl_str_mv Guerra, Pedro
Castelli, Mauro
Côrte-Real, Nadine
dc.subject.por.fl_str_mv banking supervision
ECB risk assessment system
EWS
machine learning
risk assessment
scenario analysis
sup-tech
Accounting
Economics, Econometrics and Finance (miscellaneous)
Strategy and Management
SDG 16 - Peace, Justice and Strong Institutions
SDG 8 - Decent Work and Economic Growth
topic banking supervision
ECB risk assessment system
EWS
machine learning
risk assessment
scenario analysis
sup-tech
Accounting
Economics, Econometrics and Finance (miscellaneous)
Strategy and Management
SDG 16 - Peace, Justice and Strong Institutions
SDG 8 - Decent Work and Economic Growth
description Guerra, P., Castelli, M., & Côrte-Real, N. (2022). Approaching European Supervisory Risk Assessment with SupTech: A Proposal of an Early Warning System. Risks, 10(4), 1-23. [71]. https://doi.org/10.3390/risks10040071
publishDate 2022
dc.date.none.fl_str_mv 2022-04-19T22:45:09Z
2022-04
2022-04-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/136681
url http://hdl.handle.net/10362/136681
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 2227-9091
PURE: 43332137
https://doi.org/10.3390/risks10040071
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 23
application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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