shock to the level of banks’ solvency risk is followed by lower short-term debt. Conversely, higher short-term debt Granger …-causes higher solvency risk. These results point toward a tight interaction between solvency and liquidity risk over time. My …

) whose distributional shapes vary considerably. In this paper, we use the method of copulas to construct the joint risk …The goal of integrated risk management in a financial institution is to measure and manage risk and capital across a … range of diverse business activities. This requires an approach for aggregating risk types (market, credit, and operational …

In the conduct of monetary policy, there exists a risk-return trade-off between financial conditions and financial … monetary policy’s risk-return trade-off, including 1) pricing of risk, 2) leverage, 3) maturity and liquidity mismatch, and 4 … counteract the buildup of vulnerabilities, thus mitigating monetary policy’s risk-return trade-off. …

stochastic general equilibrium model in which liquidity and capital regulations interact with the supply of risk-free assets. In … cycle, influencing the pricing of risk and the level of risk in the economy. Our analysis focuses on liquidity policies … addition, we find that intermediate ranges of risk-free asset supply achieve higher welfare. …

, maximize put option value - by pursuing riskier strategies. For safe banks with large charter value, however, the risk … value, and a risk measure, this paper develops a semi-parametric model for estimating the critical level of bank risk at … which put option value starts to dominate charter value. From these estimates, we infer the extent to which the risk …