Funding liquidity risk has played a key role in all historical banking crises. Nevertheless, a measure based on … reveals funding liquidity risk. We can extract an insurance premium from banks' bids which we propose as measure of funding … liquidity risk. Using a unique data set consisting of all bids in the main refinancing operation auctions conducted at the ECB …

Why should risk management systems account for parameter uncertainty? In order to answer this question, this paper lets …'s credit quality and the data underlying parameter estimates - this uncertainty substantially increases the tail risk perceived … by the investor. Since incorporating parameter uncertainty in a measure of tail risk is computationally demanding, the …

in future states. When risks rise or risk management strengthens, a bank reallocates capital to the more efficient unit …. This unit would have generated higher constraint- and risk-adjusted returns while satisfying a tightened constraint at the … old capital allocation. Calibrated to US data, our model reveals that, when credit or market risk increases, market …

self-fulfilling beliefs as drivers of sovereign default risk. I show how default risk can be decomposed in a solvency-risk … component and a coordination-risk component. I then study how fiscal policy can be effective in managing the risk of … coordination and I characterise how the shape of the optimal policy is affected by the presence of this risk: making the deficit …

measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure … reveals that violations of key assumptions of the well-known Asymptotic Single-Risk Factor (ASRF) model are virtually … inconsequential. By contrast, flaws in the calibrated interdependence of credit risk across exposures, which are driven by plausible …

Most of the international macro models, in contrast to the data, imply a very high level of risk sharing across …

We address to what extent a central bank can de-risk its balance sheet by unconventional monetary policy operations. To … that end, we propose a novel risk measurement framework to empirically study the time variation in central bank portfolio … generated beneficial risk spillovers across monetary policy operations, causing overall risk to be non-linear in exposures. Some …

financial crisis. Were these public recapitalizations followed by a reduction of risk in banks' loan books? To answer this … that were later rescued took on higher risk in their loan books before the crisis than banks that were not, especially in … consistent evidence that rescued banks reduced their risk relatively more than non rescued banks during the crisis …