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 …

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 …

The analysis of the conditions under which, and extent to which climate-adjusted financial risk assessment affects … limiting firms’ capacity to invest in low-carbon activities that could decrease their exposure to transition risk and help them …

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 …

-term transition scenarios, we document a significant variance among banks in their risk exposure, with the most exposed institutions …

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel … forward-looking emission reduction targets, thereby providing a rich picture of firms’ climate-related transition risk … firms’ credit risk: credit ratings and the market-implied distance-to-default. High emissions tend to be associated with …

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 …

ensure that uncertainty and risk dependence can increase in times of stress. We apply the framework to euro area sovereign … Eurosystem non-standard monetary policy measures, and document strong reductions in joint risk …