contingent IMF financial support on the risk premiums and the crisis probability. In the model, the country borrows in both short … and long term; market (coordination) failure triggers a liquidity run and inefficient default; and the IMF lends … unconditionally under a preferred creditor status. The model shows that IMF financial support can help prevent a liquidity crisis …

. The tendency to underprice systemic liquidity risk and currency-induced credit risk creates vulnerabilities that need … supervisory responses. The framework seeks to induce agents to better internalize risks by implementing a risk based approach to … supervision, following the risk management guidelines of the Basel Committee, and by establishing buffers to cover higher …

systemic risk, but limiting the correlation between bank portfolios does not. …

We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by … credit risk during the period of the recent financial crisis. …

Sovereign risk premia in several euro area countries have risen markedly since 2008, driving up credit spreads in the … private sector as well. We propose a New Keynesian model of a two-region monetary union that accounts for this “sovereign risk … channel.” The model is calibrated to the euro area as of mid-2012. We show that a combination of sovereign risk in one region …

resilient to credit, liquidity, and contagion risks arising from a severe stress scenario. Elevated housing prices and high …