In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market …

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that …

systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which … utilizes a multi-equation framework to model forward-looking measures of market and credit risk using the credit default swap … significant detrimental volatility spillovers from the CDS market to the banks' equity prices, suggesting a credit shock …

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …