-specific and Europe-wide risk factors. The estimation results indicate a high, time-varying degree of spatial spillovers in the …

rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … financial institutions, especially for institutions with high leverage. This study uses Extreme Value Theory to estimate the … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …

This paper examines the pricing of public debt in a quantitative macroeconomic model with government default risk …. We analyze the conditions under which expected default risk premia can quantitatively rationalize sizeable spreads on … public bonds. Sovereign default risk premia turn out to emerge at either very high debt to output ratios, or if the variance …

Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast …

risk to unsecured creditors. We show that this triggers more frequent runs by unsecured creditors, even in the absence of … fundamental risk. This effect is separate from the liquidation externality caused by fire sales of seized collateral upon default … always increases it. Regulators need to contain its reinforcing effect on liquidity risk, trading off its role in expanding …

discipline by monitoring counterparty credit risk and theories highlighting that secured loans are less informational sensitive …

puzzle, first detected in corporate bonds, consists of two stylized facts: Structural determinants of credit risk not only …

Under the new Capital Accord, banks choose between two different types of risk management systems, the standard or the … internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the … presence of supervision by bank regulators. The model uses a principal-agent setting between a bank's owner and its risk …