's vulnerability to periods of heightened risk and uncertainty. This paper develops a framework to evaluate such vulnerabilities. It … and explore how they are affected by domestic and global risk. We apply this framework to ten OECD economies, showing the … Kingdom, show that a substantial degree of international risk sharing can occur through current accounts and international …

According to current regulation, European banks can apply zero risk weights to sovereign exposures in their balance … sheet, irrespective of the assigned rating. We show that a zero risk weighting of sovereign bonds has implications by … introduced via a penalty function that punishes banks if they deviate from the target capital ratio. We study the zero risk …

We extend the canonical income process with persistent and transitory risk to shock distributions with left …-skewness and excess kurtosis, to which we refer as higher-order risk. We estimate our extended income process by GMM for household … show that in a standard incomplete-markets life-cycle model, first, higher-order risk has sizable welfare implications …

Geopolitical risk cannot be measured in a universal way. We develop new geopolitical risk indicators relying on local … newspaper coverage to account for different perceptions. Using Russia as a case study, we demonstrate that geopolitical risk … shocks identified from local news sources have significant adverse effects on the Russian economy, whereas geopolitical risk …

to estimate Growth at Risk as introduced in Adrian, Boyarchenko, and Giannone's (2019) seminal paper "Vulnerable Growth …