price-elastic investors, funds and banks. Comparing a security at the 90th percentile of the investor elasticity …, based on investors' holdings of eligible securities before the QE program was announced. We show that funds and banks sell …

network of 373 banks. On the basis of an exogenous shock leading to defaults of some banks in the network, we find that the …

Euro area governments have committed to break the doom loop between banks and sovereigns. But policymakers disagree on … 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 …

European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … sovereign bond portfolios of the major European banks. First, we capture the dependence structure of European countries … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …

We study the interaction between borrowers' and banks' solvency in a quantitative macroeconomic model with financial …

, it is markedly different when the exuberance of banks focuses on neglected downside risk, as opposed to overstated upside …