macroprudential policy is represented by a convex dependence of bank capital requirements on the quantity of uncollateralized credit …. In our model, producers are financed by both bank debt and equity, and face a mix of systematic and idiosyncratic …

shock caused by a large-bank failure in conjunction with detailed data on interbank exposures. First, we find robust … evidence that higher interbank exposure to the failed bank leads to large deposit withdrawals. Second, the magnitude of …

Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person … decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk … of many market participants: They are endogenous. We develop a general equilibrium model with endogenous credit risk that …

failure of a large number of financial intermediaries. The indicators are based on latent macro-financial and credit risk … components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions …

The use of macro stress tests to assess bank solvency has developed rapidly over the past few years. This development … top-down macro stress testing framework that is used regularly for forward-looking bank solvency assessments. This paper …

rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still … missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies …