This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …

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

risk management problem, an inter-temporal trade-off between expected growth and downside risk. Predictive distributions …

corresponding risk-taking, the ensuing effect on their profitability and the respective publication effect. Exploiting the …

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …

riskiness of counter parties and issuers is endogenous to the central bank's credit policies and related risk control framework …

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 …

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 …