corresponding risk-taking, the ensuing effect on their profitability and the respective publication effect. Exploiting the …

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 …

without specific climate prudential policies, transition risk can generate excessive risk-taking by banks, which in turn … enough to account for the systemic dimension of transition risk. Implementing macroprudential policies in addition to …

Recent interest in "Risk Management"has highlighted the relevance of Bayesian analysis for robust monetary …

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 …

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. …

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 …

climate-related physical risks with a global Input-Output model. More specifically, climate-related GDP-at-risk data are used … ultimate impact of physical risk because trade can lead to losses that are up to 30 times higher in the EA than what looking at … possible. Future research should (i) develop more granular, holistic, and forward-looking global physical risk data and (ii …

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 …