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

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 …

We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we … develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence … of climate risk premia. Results suggest that climate risk premia for both, transition and physical climate risk, have …

precise links between theory and measurement. The paper highlights the mechanisms through which financial markets benefit …

alter the perception of market risk and hit financial intermediation - 'financial factors' in short - are prime determinants … intermediation turns an otherwise diversifiable source of idiosyncratic economic uncertainty, the 'risk shock', into a systemic force …

systemic risk. …