discipline may not be sufficient to ensure prudential behaviour among managers, combined with the externalities of this risk … implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the … existence of widespread risk-taking incentives in the investment fund sector, with a particular focus on incentives for …

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 …

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 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 …

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 …

at risk in the euro area and in the United States. We model the asymmetry of the shocks to changes in the unemployment … rate as a function of real activity and financial risk factors. We find that the conditional distribution of the changes in … risk defined as the possible joint event of large increases in the unemployment rate and large annual rates of inflation …

Using regionally disaggregated data on economic activity, we show that risk sharing plays a key role in shaping the … real effects of monetary policy. With weak risk sharing, monetary policy shocks trigger a strong and durable response in … output. With strong risk sharing, the response is attenuated, and output reverts to its initial level over the medium term …