We develop a dynamic stochastic general equilibrium model to study bank risk and sovereign risk interdependence in the … Euro Area. We find that an increase in capital investment risk shock, results in a considerably deeper recession when … sovereign risk is also present. This result has three policy implications. First, Euro Area policies dealing with failing banks …

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler maxmin with multiple priors framework to lenders …

finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on … risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common …

to these scenarios affect the upside and downside risks embodied in the baseline real-time oil price forecast. Such risk …

assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium … model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit … spread can be attributed largely to the risk of default and how excess loan creation may emerge due different attitudes to …

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging … within types of economies, with Europe being more adversely affected by the fall in risk appetite than other advanced …

The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk … assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited … liability. Moreover, higher capital may have an unintended e¤ect of enabling banks to take more tail risk without the fear of …