What kinds of credit substitution, if any, occur when changes to banks' minimum capital requirements induce banks to … banks. Credit substitution could occur through foreign banks operating domestic branches that are not subject to capital … change their supply of credit? The question is central to the new ‘macroprudential' policy regimes that have been constructed …

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk …. Using a theoretical micro model, we show that a leverage ratio requirement can incentivise banks that are bound by it to … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …

conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk … sample selection bias, we show that CoCo bonds issuance has a strong positive effect on risk-taking behaviour, and so do … impact of CoCo bonds on risk-taking …

We identify a 'risk news' shock in a vector autoregression (VAR), modifying Barsky and Sims's procedure, while … incorporating sign restrictions to simultaneously identify monetary policy, technology and demand shocks. The VAR-identifed risk … news shock is estimated to account for around 2%-12% of business cycle fluctuations depending on which risk proxy we use …

The prices of derivatives contracts can be used to estimate ‘risk-neutral' probability density functions that give an … indication of the weight investors place on different future prices of their underlying assets, were they risk-neutral. In the … likely case that investors are risk-averse, this leads to differences between the risk-neutral probability density and the …

risk premia of three major stock indices into: crash and non-crash risk components and analyse their cross …-market correlations. I find that crash-risk premia exhibit higher correlations than non-crash risk premia, implying the existence of … of the overall variance risk premia, highlighting the importance of crash-risks. Unlike the existing literature, my …

We model the joint risk-neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option …