We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the … borrow over a given horizon, thus increasing refinancing risk. We measure refinancing risk by quantifying the sensitivity of … frequency. Results suggest that refinancing risk affects the spread significantly across time, albeit in a largely varying …

We examine the impact of banks' liquidity risk management on secondary loan sales. We track the dynamics of bank loan … importance of bank liquidity risk management as a motivation for loan sales, in addition to the credit risk transfer motive …

We study the performance and behavior of Value at Risk (VaR) measures used by a number of large banks during and before …

We examine the impact of banks' liquidity risk management on secondary loan sales. We track the dynamics of bank loan … importance of bank liquidity risk management as a motivation for loan sales, in addition to the credit risk transfer motive …

analyze the consequences of the Federal Reserve Board's proposed pre-commitment approach (PCA) for setting market risk capital … requirements for bank trading portfolios. Under the PCA, a bank determines its own market risk capital requirement and is subject … to a known regulatory penalty should its trading activities generate subsequent losses that exceed its market risk …