liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … interpret the 2007 run on SIV and ABCP conduits. -- stress ; crises ; illiquidity risk ; insolvency risk ; leverage ratio …

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption … risk sharing in tranquil times but that it actually fails to provide international insurance in severe crisis periods …

This paper analyzes the effect of the removal of government guarantees on bank risk taking. We exploit the removal of …

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U ….S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk … the public, long-term systemic risk among banks tends to increase. From the dynamic perspective, bank penalties represent …

We analyze the link between banking sector quality and sovereign risk in the whole European Union over 1999–2014. We … employ four different indicators of sovereign risk (including market- and opinion-based assessments), a rich set of … is associated with increased sovereign risk. The sector's depth provides mixed results. The stability (capital adequacy …

. Our results indicate that institutional investors actively monitor underlying asset risk, and even gain an informational …