a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter (λ … the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this AI based risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …

arbitrage whereby banks funnel credit risk and low-quality collateral to the central bank. Weaker banks use lower quality … studying an extensive dataset of banks' liquidity uptake and pledged collateral in central bank repos. We document systemic … collateral to demand disproportionately larger amounts of central bank money (liquidity). This holds both before and after the …

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

conduct an econometric analysis of the driving factors of banks’ asset encumbrance, highlighting the relevance of credit risk …, the availability of high quality collateral suitable for encumbrance, capital and sovereign funding conditions. Third, we …