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 …

generalized increase in the spreads as a result of a higher risk perception in the sample under review. The results reinforce the … relevance of the Tier 1 capital ratio for making subordinated debt safer, while markets price the higher risk of banks with less …

We examine the existence of physical and transition climate risk premia in euro areaequity markets. To do so, we … develop two novel physical and transition risk indicators, basedon text analysis, which are then used to gauge the presence of … climate risk premia. Resultssuggest that climate risk premia for both, transition and physical climate risk, have …

into components of expected future earnings and equity risk premia. Then, we evaluate how these react to general and sector … sector are mainly driven by changes in equity risk premia, while changes in earnings expectations play a comparatively larger …