and the 2010-2012 European sovereign crisis. This effect is attenuated for banks with lower credit risk, sounder capital …

Based on a non-linear equilibrium model of the banking sector with an occasionally-binding equity issuance constraint … large: up to 10% more loans for a capital requirement release of 1pp. Compared to existing DSGE models with a banking sector …

In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet … intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique … our proxies for funding liquidity risk are typically stable and low, with occasional spikes, especially during the recent …

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. …

maturity races, information sensitivity, risk-intolerant debt and induced runs reinforce the liquidity risk externality … associated with banking, and have significant implications for research on credit cycles as well as for prudential policy. …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … stress test covering all the major banking groups in the EU. The potential amplification role of asset managers is taken into …