Euro redenomination risk is the risk that a euro asset will be redenominated into a devalued legacy currency. We … propose a time-varying, country-specific market perception of intra-euro area redenomination risk measure, defined as the … and using Germany as benchmark, we show that the redenomination risk shocks, defined as the unexplained component of the …

sovereign to corporate credit risk in Europe. A ten percent increase in sovereign credit risk raises corporate credit risk on … sovereign to corporate risk transfer …

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular … cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures … granular risk indicators adds to the overall transparency of the market in the context of risk monitoring …

A large empirical literature suggests that risk premia on stocks or corporate bonds are large and countercyclical. This … paper studies a simple real business cycle model with a small, exogenously time-varying risk of disaster, and shows that it … can replicate several important facts documented in the literature. In the model, an increase in disaster risk leads to a …

We develop a measure of overall financial risk in China by applying machine learning techniques to textual data. A pre …-defined set of relevant newspaper articles is first selected using a specific constellation of risk-related keywords. Then, we … employ topical modelling based on an unsupervised machine learning algorithm to decompose financial risk into its thematic …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

In this paper, we analyse the effects of a shock to global financial uncertainty and risk aversion on real economic … higher levels of external debt, less developed financial sectors, and higher risk rating …

We study the optimal design of clearing systems. We analyze how counterparty risk should be allocated, whether traders … should be fully insured against that risk, and how moral hazard affects the optimal allocation of risk. The main advantage of … centralized clearing, as opposed to no or decentralized clearing, is the mutualization of risk. While mutualization fully insures …