PROBABILITY AND DEFAULT CORRELATION, IN STCDOS -- IV. IDIOSYNCRATIC AND SYSTEMIC RISK IN STCDO TRANCHES -- V. DATA AND EMPIRICAL …

economy. It first documents that tighter macroprudential regulations implemented in Europe over the period 2008-2017 lowered … default risk not only in the financial, but also in non-financial sectors. Second, the paper analyzes the impact of two … but at the cost of raising long-term default risk in non-financial sectors. Strengthening the resolution framework for …

This paper focuses on financial interlinkages within Europe and potential contagion channeled through these … channels of contagion through financial linkages; and assesses the magnitude of cross-border exposures between emerging and … regional contagion that could help identify the likely pressure points and capture potential spillover effects an …

how the risk of contagion, an essential characteristic of interlinked economies, shapes borrowing conditions. We focus on … back-load consumption by giving more weight to future transfers in order to reduce contagion cost. Subsequently, we test …

(SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the …

building a dynamic stochastic general equilibrium model linked to global climate and a catastrophe risk model specifically for … drawing strong conclusions about the relevance of climate risk, as the model focused only on typhoons' physical capital …

systemic risk in the corporate and financial sectors, as well as systemic sovereign risk; and is also forward looking as it is … END to assess systemic risk in the corporate sector in Korea, Malaysia, and Thailand. We also discuss how the END systemic … risk indicator overcomes some of the shortcomings of other vulnerability indicators. …

This paper investigates macroprudential policy effects on bank systemic risk and the role of inflation targeting in … tightening of most macroprudential tools-including DSTI and LTV limits, and capital requirements-reduces bank systemic risk …

. Using data from 49 countries, the paper evaluates the effectiveness of macroprudential instruments in reducing systemic risk …