We analyse the poisonous interaction between bank rescues, financial fragility and sovereign debt discounts. In our … and government deficits. The financial intermediaries face the risk of a (partial) default of the government on its debt … sovereign debt discount. We introduce long term government debt, which gives rise to the possibility of capital losses on bank …

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We … banks where we find discrepancies between the capital adequacy of the largest contributors to systemic risk relative to less …

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We … between the institutions, overcoming a modeling weakness in earlier studies. A latent risk factor with heterogeneous exposures …

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized … in a financial crisis (`SRisk'). We find that the risk impact of negative rates depends on banks' business models: Large …

rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …

assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state …-space methods, we model latent macro-financial and credit risk components for a large data setcomprising the U.S., the EU-27 area … risk conditions can significantly and persistently de-couplefrom macro-financial fundamentals. Such decoupling can serve as …

risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models … to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the …