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 …

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 …

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

, we allow for two-sided counterparty risk. In line with empirical observations, it is shown that the most liquid and least …

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 …

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

and the 2010-2012 European sovereign crisis. This effect is attenuated for banks with lower credit risk, sounder capital …

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the … book where all exposures are held to maturity. Our simulations show that capital is mismeasured if risk interdependencies … are ignored: adding up economic capital against credit and interest rate risk derived separately provides an upper bound …

the expected growth and downside risks. This paper reviews the literature on Growth-at-Risk, embeds it in the wider … literature on macroprudential policy, and proposes an empirical risk management framework that combines insights from the two …