riskiness of counter parties and issuers is endogenous to the central bank's credit policies and related risk control framework …

We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk …-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller …. This incentive problem limits the capacity to share risks and generates endogenous counterparty risk. Optimal hedging can …

A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper …

We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …

I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a …