This paper develops a framework for the short-term modelling of market risk and shock propagation in the investment … in particular climate risk, with a first-of-its-kind dual view of transition and physical climate risk exposures at the … fund level. So far, while fund managers communicate more aggressively on their awareness of climate risk, it is still …

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

We use cross-country microdata to analyse the risk taking of households in Europe and the US. Concerning the extensive … inside Europe we document substantial differences. Furthermore, average risk aversion is strongly correlated with the share … explainable by household characteristics as well as differences in risk aversion and a remainder. We employ the unexplained part …

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel … forward-looking emission reduction targets, thereby providing a rich picture of firms’ climate-related transition risk … firms’ credit risk: credit ratings and the market-implied distance-to-default. High emissions tend to be associated with …

price on the European banking system. We assess this climate change transition risk through a banking sector contagion model …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a …

factor risk model, when augmented with reference returns, is capable of generating visually consistent return distributions …

from low yielding cash assets following an expansionary shock. While higher risk-taking is an intended consequence of … expansionary monetary policy, this dynamic may give rise to a build-up in liquidity risk over time, leaving the fund sector less …