results enhanced price discrimination as the impact on bank CDS spreads and equity prices tended to be stronger for the weaker …

analyzes the implications of the change from IAS 39 to IFRS 9 in the context of bank resilience. We shed light on two effects … bank resilience through lower capital levels. In the absence of archival data of IFRS 9 and their potential biases due to … the COVID-19 pandemic, we use the European bank stress test results as a natural experiment, in which all banks are …

run simulations of bank valuations and asset prices under a set of stress scenarios. …

capital and liquidity ratios, the leverage ratio plays a key role in determining a bank's IRS trading activity. 5) Also, after … mandatory central clearing, there is still a large dispersion in IRS transaction prices, which is partly determined by bank …

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 … portfolio credit risks associated with such operations. The framework accommodates a large number of bank and sovereign …

We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European … Central Bank's release of stress test results for 130 significant banks on October 26, 2014. We document that following this … information release bank equity prices in stressed countries declined. Surprisingly, bank risk in stressed countries was not …