sovereign to corporate credit risk in Europe. A ten percent increase in sovereign credit risk raises corporate credit risk on … sovereign to corporate risk transfer …

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular … cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures … granular risk indicators adds to the overall transparency of the market in the context of risk monitoring …

We develop a measure of overall financial risk in China by applying machine learning techniques to textual data. A pre …-defined set of relevant newspaper articles is first selected using a specific constellation of risk-related keywords. Then, we … employ topical modelling based on an unsupervised machine learning algorithm to decompose financial risk into its thematic …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

We study the optimal design of clearing systems. We analyze how counterparty risk should be allocated, whether traders … should be fully insured against that risk, and how moral hazard affects the optimal allocation of risk. The main advantage of … centralized clearing, as opposed to no or decentralized clearing, is the mutualization of risk. While mutualization fully insures …

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

and high flooding risk and test for the “core lending channel” hypothesis, whereby lending to the real economy is a …

Recent interest in 'Risk Management' has highlighted the relevance of Bayesian analysis for robust monetary …