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 …

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 …

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

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 …

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 …

This paper presents a market equilibrium model of CEO assignment, pay and incentives under risk aversion and … distorted by the agency problem as firms involving higher risk or disutility choose less talented CEOs. Such firms also pay … higher salaries in the cross-section, but economy-wide increases in risk or the disutility of being a CEO (e.g. due to …

situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation … within pre-specified bounds. We develop formal tools of risk management that may be used to quantify and forecast the risks … of failing to attain that objective. We illustrate the use of these risk measures in practice. First, we show how to …

This paper analyses the impact of public disclosure of banks’ risk exposure on banks’ risk taking incentives and its … their loan portfolio, public disclosure reduces the probability of banking crises. When asset risk is driven largely by … between asset risk and the deposit rate demanded by informed depositors. …

trend in yield differentials, which is correlated with a measure of aggregate risk. In contrast, liquidity differentials … differentials should increase in both liquidity and risk, with an interaction term of the opposite sign. Testing these predictions … on daily data, we find that the aggregate risk factor is consistently priced, liquidity differentials are priced for a …