In this article, we test the implied volatility of a credit risk of a bond, an interest rate swap and a swaption of well known Swedish bank such as the Nordea bank. To minimize the interest and the credit risk of the contract the interest rate swap is linked to an option. The integration of an...

This paper investigates how interbank credit exposures affect financial stability. Policy makers often see such exposures as undermining stability by exacerbating cascading losses through the financial system. I develop a model that features a trade-off between cascading losses and risk-sharing....

Climate change causes natural disasters to occur at higher frequency and increased severity. Using a unique dataset on German banks, this paper explores how regionally less diversified banks in Germany adjusted their loan loss provisioning following the severe summer flood of 2013, which...