This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …

We exploit the 2007-2009 financial crisis to analyze how risk relates to bank business models. Institutions with higher …. Business models related to significantly reduced bank risk were characterized by a strong deposit base and greater income … risk exposure had less capital, larger size, greater reliance on short-term market funding, and aggressive credit growth …

eurozone. My results also suggest that these shocks are a plausible source of aggregate risk that could explain business cycle …

Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main …

bank and auction rates in its open market operations in times of financial market stress. In a theoretical model, it is … found that marginal rates at central bank auctions may increase if the share of troubled banks becomes too high relative to … market operations needed to absorb large stress levels in interbank money markets and hence contain central bank auction …

the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank … financial intermediaries, in particular money market funds (MMFs), have a positive impact on secondary bank bond markets …' liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a …

domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are … concept, to assess how could change the stock market response depending on the source of risk that moves oil prices. I apply …-related scenario in euros could generate an opposite impact in the European stock market depending on the source of risk. The source of …