Understanding the nature of credit risk has important implications for financial stability. Since authorities notably … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …

model in terms of overall goodness of fit. In particular, the presence of housing collateral generates a positive … correlation between consumption and house prices. Finally we find that housing collateral induced spillovers account for a large …

policy affects risk taking by changing the amount of safe bonds that intermediaries use as collateral in the repo market. In … this model with properly-priced collateral, lower than optimal interest rates reduce risk taking. We also consider the … possibility that intermediaries can augment their collateral by issuing assets whose risk is underestimated by credit rating …

We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory … requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous … outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the …

risk, the issuer of securitized assets may credibly signal its quality. However, in the boom stage of the business cycle …-quality assets are no longer traded. The model also suggests that improperly designed regulation requiring higher explicit risk …

booms and increasing liquidation of housing collateral during housing busts. -- Credit and credit aggregates ; Financial …