systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding … liquidity. We give an overview of applications to stress testing, including both microprudential and macroprudential stress … channels of contagion, models with learning and limited deductive reasoning that can survive the Lucas critique, and practical …

's default and the ensuing default contagion. In unwinding the defaulter's positions, the CCP faces the price impact of …-mediated contagion and its amplification. A novel spatial measure captures the covariance between members' CDS holdings and the CDS being … theoretical results with parameter magnitudes and sensitivities. Examination of three market liquidity scenarios provides …

its positions. The theoretical model examines variation margin exchange between dealer banks and the price impact of … liquidation and predatory selling. It provides a measure of covariance between assets in banks' portfolios; price impact affects … profits, and how predation decreases the profits of all members, pushing banks to default. Furthermore, a hybrid CCP (vs …

aggregate shocks, which generate the time-varying liquidity and default premiums in the mortgage spread. I quantify the …

Due to the significant share of mortgage loans in the portfolio structure of a large number of commercial banks … of non-performing loans in banks' balance sheets is significantly affected by the fall in real estate prices, the paper …

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …

spreads, and corporate bond liquidity spreads in a unified no-arbitrage framework. Four economic factors, monetary conditions …. During the pre-crisis period, volatility shocks decrease Treasury yields and widen both credit spreads and liquidity spreads … and real output become significant as well. Ignoring the liquidity component of corporate yield spreads is shown to lead …