losses transmitted after banks default, but also for losses due to the fact that creditors revalue their exposures when … becoming negligible. By decomposing the change in losses into two main contributions — the increase in banks' capital and the … capital among banks is also important …

) requirements, and the ex-post resolution policy of banks. Banks in our model are subject to two types of moral hazard: i) ex … capitalised banks have the incentive to engage in asset substitution by ‘gambling for resurrection'. Ex-ante moral hazard can be … eliminated by ensuring that banks have sufficient capital and uninsured ‘bail-inable' debt, while ex-post moral hazard is …

novel micro dataset from residential mortgage loans which UK banks and building societies have pre-positioned with the Bank …

mortgage loans originated between 1991 and 2013 across over 150 banks. The analysis finds support for both elements of the …

asset class on banks' balance sheets — they do not take into account bias arising from small samples or non-Gaussian risk …

costs. On one hand, shocks coming from correlated exposures towards the real economy may induce correlation in banks … systemic risk (ie the probability of a large number of banks going into distress simultaneously) and thus we develop a … comprehensive granular dataset for the euro-area banking sector, capturing roughly 96% or €23.2 trillion of euro-area banks’ total …

existence of a core of highly connected banks alongside a periphery. We find that membership of this core expanded during the … crisis and suggest that this is due to a few intermediate banks becoming more connected. The widened reserve target bands may … allowing banks to exercise more discretion in forming relationships. However, there is an asymmetry between borrowers and …

management approach to calibrating individual banks' capital requirements that takes into account these factors and which … aggregate capital for the system and its distribution across banks that are consistent with a chosen objective for systemic …