the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories. …

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and … value is sevenfold that of an increase. Moreover, the downward bias in systemic risk from ignoring this asymmetric pattern … asymmetric model also produces much better estimates and fitting, and thus improves the capacity to monitor systemic risk. Our …

transformation risk in the banking sector and promoting funding stability. The revised package has been issued for public … NSFR is a relatively consistent regulatory measure for capturing banks’ funding risk. Finally, the paper discusses key …

€™ risk exposure. But trying to improve financial soundness in the midst of a downturn can do the oppositeâ …

risk premia on public debt, because sheltering growth is key to the success of fiscal consolidation in these cases. …

to take on risk by reducing market discipline or by increasing charter value. We use an international sample of bank data … associated with more risk taking by banks, especially during the financial crisis (2009-10). We also find that restricting banks …