With the financial crisis spreading to the real economy, the discussion about potential procyclical implications of Basel II received a surge of attention. While existing research approaches the topic either from a theoretical perspective or from an empirical perspective that draws on simulated...

A deep understanding of the drivers of credit risk is valuable for financial institutions as well as for regulators from multiple viewpoints. The systemic component of credit risk drives losses across portfolios and thus poses a threat to financial stability. Traditional approaches consider...

We analyze the consequences of unconventional monetary policy by several central banks on the profitability of banks. In many countries the low interest rate environment has been slowly replaced by a negative interest rate environment. Many articles show that banks' profitability with respect to...

A deep understanding of the drivers of credit risk is valuable for financial institutions as well as for regulators from multiple viewpoints. The systemic component of credit risk drives losses across portfolios and thus poses a threat to financial stability. Traditional approaches consider...

Assessing the systemic risk a bank poses to the system has become a central part in regulating its capital requirements (e.g. the buffer for global or domestic systemically important banks). As with conventional risk types, systemic risks need to be quantified. Currently global regulators...

Do we know if a short selling ban or a Tobin Tax result in more stable asset prices? Or do they in fact make things worse? Just like medicine regulatory measures in financial markets aim at improving an already complex system, cause side effects and interplay with other measures. In this paper...

Do we know if a short selling ban or a Tobin Tax result in more stable asset prices? Or do they in fact make things worse? Just like medicine regulatory measures in financial markets aim at improving an already complex system, cause side effects and interplay with other measures. In this paper...

In recent years, monetary policy and inflation considerations have been playing an increasingly important role for macroprudential authorities in their policy setting. This paper aims to assess the implications of high inflation and rising interest rates for macroprudential policy stance. The...