Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a …

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 … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …

We build a balance sheet-based model to capture run risk, i.e., a reduced potential to raise capital from liquidity … critical in order for banking system regulators to adequately assess run risk and resilience. By bringing a time series of SVB … SVB prone to run risk, as they were increasingly relying on held-to-maturity, aka hidden-to-maturity, accounting standards …

subject to rollover risk. A bank's optimal borrowing trades off the benefit from investing additional funds into profitable … assets with the cost of greater risk of a run by bank creditors. Changes in the interest rate affect the price and amount of …

on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active. …

extraction, amounting to €3.62 billion in bank loans. Borrowing costs rise concurrently, driven by heightened perceptions of risk …

evidence that supervisory scrutiny associated to stress testing has a disciplining effect on bank risk. We ftnd that banks that … participated in the 2016 EU-wide stress test subsequently reduced their credit risk relative to banks that were not part of this …

risk of the euro area banking system based on bilateral linkages. We then develop a Contagion Mapping (CoMap) methodology …

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 … concentration and credit risk exposure. …