regulation, recovery and resolution, and risk culture. …

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … fund managers are more conservative the liquidity requirement has to be strengthened while the solvency one relaxed. Higher … financial intermediary is opaque) and, correspondingly, liquidity requirements should be tightened. The model is applied to …

The 2011--2013 rule-making process for the regulation of qualified mortgages was correlated with a reduction in … mortgage lending. In this article, we document this correlation at the bank level. Using a novel measure of banks' perception …

market for pricing and trading mortgage credit risk, which has grown in size and liquidity over time. The CRT programs …We summarize and evaluate Fannie Mae and Freddie Mac's credit risk transfer (CRT) programs, which have been used since … 2013 to shift a portion of credit risk on more than $1.8 trillion of mortgages to private sector investors. We argue that …

banking system to aggregate liquidity shocks? And what are the implications, if any, for banking regulation? To answer these … questions, I study a Diamond-Dybvig environment, where banks hedge against aggregate liquidity risk in the interbank market or … contract, and default in equilibrium only when facing systemic liquidity risk. In this case, the allocation at default is …

appear to be less informative for default risk measurement compared with automated valuation models …

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 …

financial sector overhang may make bailouts tempting, they raise the risk of exacerbating the overhang related to sovereign debt … evidence on this important nexus, based on our ongoing research that exploits data on European bank and sovereign credit risks …

, whilst removing credit risk transmission, systematically increase default risk …