This paper develops a framework for the short-term modelling of market risk and shock propagation in the investment … in particular climate risk, with a first-of-its-kind dual view of transition and physical climate risk exposures at the … fund level. So far, while fund managers communicate more aggressively on their awareness of climate risk, it is still …

linkages act as an important channel of contagion and hold important policy implications. - Contagion ; systemic risk, macro …

In response to the coronavirus (Covid-19) pandemic, there has been a complementary approach to monetary and fiscal …

estimate the impact of the ECB's dividend recommendation on bank lending and risk-taking. To address identification issues, we …

When the Covid-19 crisis struck, banks using internal-rating based (IRB) models quickly recognized the increase in risk … banks in countries with credit booms before the pandemic. The higher risk sensitivity of IRB models does not always result … in lower credit provision when risk intensifies. Certain features of the IRB models - the use of a downturn Loss Given …

, orthogonal to surprises extracted from risk-free interest rates. We find that it is present in policy events that were … QE programmes such as the APP launched by the ECB in 2015 aimed to extract duration risk. When including our market …