The failure of Lehman Brothers highlighted the severe lapses in risk management and regulatory oversight that brought … on and intensified the global financial crisis. This paper presents a structural credit risk model that provides useful … insufficient collateral compounded the effects of dangerously high leverage and resulted in undercapitalization and excessive risk …

dependencies arising from common risk factors, while recessions in real sectors due to bank defaults should be a secondary concern. …In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are … crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are …

-specific variables. Data on regulation, supervision and monitoring variables, and activity restrictions are from the most recent Bank … Regulation and Supervision Survey database conducted by the World Bank, published 2012. Besides these we incorporate bank size … banks from 21 European Union countries for the post-crisis year 2010, controlling for bank-specific and country …

empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities … risky than banks that accessed the DW. Our results can contribute to a better design of liquidity facilities during a …

This note provides an example of how government and central bank policies that promote market liquidity (e … capitalized (networth of the banking system is higher) but, at the same time, more fragile (higher likelihood of bank failures … affected by liquidity policies, creating new channels for financial contagion in case the real sector is hit by negative shocks …

the monetary policy and financial regulation and supervision perspectives. In the preceding SUERF Study (2013/2), the …

liquidity regulation. Our identification strategy uses a regression kink design that relies on the variation in a marginal high …We investigate how liquidity regulations affect banks by examining a dormant monetary policy tool that functions as a … credit supply. Liquidity requirements also depress banks' profitability, though some of the regulatory costs are passed on to …

national liquidity requirements to proxy for banks' incentives to exploit this differential treatment of central bank eligible …We analyze the pledging behavior of Euro area banks during the introduction of the liquidity coverage ratio (LCR). The … LCR considers only a subset of central bank eligible assets and thereby offers banks an arbitrage opportunity to improve …

here primarily look at fiscal policy and sovereign risk perspectives, papers on the monetary policy and regulatory …