national liquidity requirements to proxy for banks' incentives to exploit this differential treatment of central bank eligible …We analyze the pledging behavior of Euro area banks during the introduction of the liquidity coverage ratio (LCR). The … LCR considers only a subset of central bank eligible assets and thereby offers banks an arbitrage opportunity to improve …

testing methods, we quantify potential bank losses attributed to climate-related transition risks. Focusing on short …-term transition scenarios, we document a significant variance among banks in their risk exposure, with the most exposed institutions … being those characterized by lower excess capital. Subsequently, we introduce a methodological framework for tailoring bank …

how to treat sovereign exposures in bank regulation. Our contribution is to model endogenous sovereign portfolio … reallocation by banks in response to regulatory reform. Simulations highlight a tension between concentration and credit risk in … opportunity set to include an area-wide low-risk asset. By reinvesting into such an asset, banks would reduce both their …

We empirically investigated the impact of regulatory risk retention methods on credit ratings and pricing at issuance … using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the … assumption that all risk retention methods homogenously align incentives and interests between originators and investors. We …

in line with the economic conditions they face. Bank responses feed back to the macroeconomic environment affecting …

crisis. Prudential frameworks also explain banks' liquidity buffers even in absence of a specific liquidity regulation, which …Prior to the financial crisis, prudential regulation in the EU was implemented non-uniformly across countries, as … framework were more likely to require public support during the crisis. We instrument some characteristics of bank balance …

We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institu- tions (O …-SII) buffer, on banks' lending and risk-taking behaviour. The O-SII buffer is a macroprudential policy aiming to increase banks … the relative attractiveness of different asset classes, a higher capital requirement could also lead to risk-shifting and …

The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment … rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic … related to an increase in bank resilience to adverse shocks. Higher capitalisation allows banks to withstand negative shocks …

The systemic risk measure (SRISK) by V-Lab provides a market view of the vulnerability of financial institutions to a … characteristics of listed banks are mapped on balance sheet information. Systemic risk tends to be higher for banks that are larger …