disaster risk shocks, investment funds shed periphery but do not adjust core sovereign debt holdings. The periphery debt shed …

view to enhancing the assessment of risk in the held-to-maturity portfolios of euro area banks and to furthering its … monitoring of interest rate risk and liquidity risk. …

arbitrage, but may also give banks incentives to choose their risk models strategically. Current policy answers to this problem … include the use of risk-weight floors and leverage ratios. I show that banks for which those are binding reduce their credit … supply, which drives interest rates up, invites other banks to adopt optimistic models and possibly increases aggregate risk …

I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to …

In this paper, we investigate the presence of non-linearities in the transmission of geopolitical risk (GPR) shocks …