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

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 …

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 …

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

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