Showing 1 - 10 of 369
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 …
Persistent link: https://www.econbiz.de/10012834322
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 …
Persistent link: https://www.econbiz.de/10013001180
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 …
Persistent link: https://www.econbiz.de/10012909852
Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...
Persistent link: https://www.econbiz.de/10013491644
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 …
Persistent link: https://www.econbiz.de/10013100399
We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …
Persistent link: https://www.econbiz.de/10012893995
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 …
Persistent link: https://www.econbiz.de/10014237690
Using regionally disaggregated data on economic activity, we show that risk sharing plays a key role in shaping the … real effects of monetary policy. With weak risk sharing, monetary policy shocks trigger a strong and durable response in … output. With strong risk sharing, the response is attenuated, and output reverts to its initial level over the medium term …
Persistent link: https://www.econbiz.de/10014242298
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 …
Persistent link: https://www.econbiz.de/10013020790
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 …
Persistent link: https://www.econbiz.de/10012836662