We find evidence of a bank lending channel for the euro area operating via bank risk. Financial innovation and the new … ways to transfer credit risk have tended to diminish the informational content of standard bank balance-sheet indicators …. We show that bank risk conditions, as perceived by financial market investors, need to be considered, together with the …

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 investigates the market pricing of subprime mortgage risk on the basis of data forthe ABX.HE family of … therelationship between observed index returns and macroeconomic news as well as marketbasedproxies of default risk, interest rates …, liquidity and risk appetite. The results imply thatdeclining risk appetite and heightened concerns about market illiquidity …

structure (ofinterest rates) models. Stock returns and bond yields as well as risk premia are affinefunctions of the state …

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