identify an asymmetric information problem: borrowers signal low financial risk to banks who are uncertain about borrower risk …

This paper analyzes the effect of the removal of government guarantees on bank risk taking. We exploit the removal of …

of optimal risk-sharing in mortgage contracts. But since only a small literature has studied this question, more research … termination via prepayment or default affects optimal risk-sharing. The broad conclusion of the analysis is that potential … mortgage termination makes higher risk exposure for borrowers optimal. …

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that … carbon risk affects firms' credit spread. The effect is larger for European than North American firms and varies … to carbon risk when market-wide concern about climate change risk is elevated. Finally, lenders expect that adjustments …

risk include an additional stress component introduced by the recent Basel 2.5 regulation. Our optimization with the Basel … relatively low market volatility may have unintended consequences for banks' risk exposure. …

change and the economy; and (iii) further explore "compound risk" scenarios in which climate risks co-occur with other risks … risk pricing in financial markets; and (iv) better understand and incorporate the process of expectations formation around …

This paper considers a simple model of credit risk and derives the limit distribution of losses under different … results obtained indicate that if firm-specific risk exposures (including their default thresholds) are heterogeneous but come … from a common parameter distribution, for sufficiently large portfolios there is no scope for further risk reduction …

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption … risk sharing in tranquil times but that it actually fails to provide international insurance in severe crisis periods …

times. The paper analyzes how these government programs influence credit allocation, indebtedness, and risk at both the … firms. The uptake of the employment program is not associated with risk, as firms internalize the opportunity cost of … expansion of the credit program by supporting firms and enabling banks to screen firms better. Macroeconomic risk of the credit …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …