and the 2010-2012 European sovereign crisis. This effect is attenuated for banks with lower credit risk, sounder capital …

and high flooding risk and test for the “core lending channel” hypothesis, whereby lending to the real economy is a …

How much of the heterogeneity in bank loan pricing is explained by disparities in banks’ attitude towards risk? The … answer to this question is not simple because there are only very weak proxies for gauging the degree of a bank’s risk … aversion. We handle this constraint by means of a novel econometric approach that allows us to disentangle the amount of risk …

estimated while controlling for the macroeconomic environment. An increase in bank' balance sheet risk is shown to increase the …

We study the functioning of secured and unsecured interbank markets in the presence of credit risk. The model generates … secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral may amplify the …

the credit risk of their corporate loan portfolios when the latter are used as collateral in the Eurosystem’s monetary … policy operations. We are able to identify systematic risk underestimation by comparing the IRB ratings with those produced … actually used as Eurosystem collateral, particularly for large loans. The less conservative estimates of risk by IRBs relative …