Can the risk of losses upon premature liquidation produce bank runs? We show how a unique run equilibrium driven by … asset liquidity risk arises even under minimal fundamental risk. To study the role of illiquidity we introduce realistic … not available in a run, asset liquidity risk has a concave effect on run incentives, quite unlike fundamental risk. Runs …

We analyze the optimal pricing of government-sponsored bank debt guarantees within the context of an asset substitution …

This paper investigates the international spillovers of government debt and the associated risk of inflation within a … with the level of debt in the PAYG country. Higher inflation risk harms both countries. Actually, in contrast to the debt … can shift part of its long-term debt burden to the funded country. Moreover, the PAYG country gains from unexpected …

Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk …

We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using … the credit cycle from the micro rating data. We relate this cycle to the business cycle, bank lending conditions, and … financial market variables. In line with earlier studies, these variables appear to explain part of the credit cycle. As our …