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 …

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. …

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the … book where all exposures are held to maturity. Our simulations show that capital is mismeasured if risk interdependencies … are ignored: adding up economic capital against credit and interest rate risk derived separately provides an upper bound …

risk management problem, an inter-temporal trade-off between expected growth and downside risk. Predictive distributions …

This paper provides a first empirical analysis of the impact of the European Central Bank's (ECB's) climate-risk …-related supervisory efforts on (i) climate risk exposure and related risk management of banks; and (ii) on the induced shifts in banks … climate-risk-related supervisory efforts. Our identification strategy exploits the fact that the ECB's efforts on climate …

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

's vulnerability in multiple plausible macro-financial scenarios. The approach helps identify macro-financial risk factors of …