reflect the characteristics of the guarantor (credit risk, size of rescue measures, timeliness of repayments) and not those of …

After the crisis, bank regulators are considering mitigating liquidity risk by introducing quantity limits on liquidity … and maturity mismatch. We argue that aggregate liquidity risk can be reduced with little deadweight loss by encouraging … readily observable variable correlated with systemic liquidity risk (e.g. the LIBOR-OIS spread) is above a trigger threshold …

programmes on banks� risk and valuation, looking at the behaviour of CDS premia and stock prices. We then proceed to analyse …

The Basel Committee for Banking Supervision designed a system of risk weights (the so called standardised approach) to … measure the riskiness of banks� loan portfolios. Its ability to adequately reflect risk is empirically investigated in this … when ratings worsen. Second, the estimated spreads per rating class indicate that the risk/rating relationship might be …