Artificial intelligence and financial tail risks / Javier Ojea-Ferreiro, Andrea Ugolini, Juan C. Reboredo. : FB3-5/2026-40E-PDF

"Artificial intelligence (AI) has a double-edged relationship with financial stability: it may improve efficiency and risk management, while also creating new vulnerabilities and amplification channels. This paper studies whether market-perceived exposure to AI is reflected in the tails of financial-sector returns, and whether this relationship depends on macroeconomic conditions. We develop a framework that decomposes financial-sector tail outcomes across contemporaneous AI and macroeconomic scenarios, and identifies whether the AI-related episodes are primarily associated with extreme gains or losses"--page [i].

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