trading book exposures, this paper assesses the sensitivity of central counterparties’ required risk buffers, or capital … point-in-time versus stress-period basis, whether the risk tolerance metric adequately captures tail events, and the … ability—or lack thereof—to define exposures on the basis of netting sets spanning multiple risk factors. Our results …

as soon as bank risk appetite heats up. Within this shorter time span, cuts must then be deeper than otherwise to also …

interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk …, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to … liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides …

We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using … risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an … equity index, and five commodities, we find that “tail risk” diminishes in the immediate aftermath of UMP events …