framework risk aversion plays a critical role, and this is challenging for our empirical analysis. We handle this issue by means … of a novel econometric approach whereby bank risk aversion is treated as an unobservable random effect. We find that … estimates of banks' risk aversion are still positively and significantly correlated with country specific effects, thus …

securitization bonds issued by European banks in the 2000-2016 period, with a particular focus on the effect of sovereign credit risk … periods, (iii) sovereign credit risk is an important determinant of banks' cost of funding, especially in crisis periods, (iv …

known as "volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … with the estimation from the simulated process, though the BC method shows smaller deviations in case of high interest rate …

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states … systemic risk. U.S. and Euro systemic shocks are highly correlated, but there is much less systemic risk among U.S. sovereigns … than among European sovereigns. We also find that U.S. and European systemic sovereign risk is strongly related to …

announcement of Brexit. In addition, we show that the great uncertainty over Brexit generates significant risk spillovers across …

This paper investigates the determinants of the default risk premia embedded in the European credit default swap … spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent … compensation for bearing exposure to systematic risk and to a new common factor capturing the proneness of the asset returns to …

associated with variables related to limits to arbitrage, such as illiquidity, idiosyncratic risk, institutional ownership, and …

The ECB has accepted increasing amounts of rubbish collateral since the crisis started leading to exposure to serious … private sector credit risk (i.e. default risk) on its collateralised lending and reverse operations ("repo"). This has led … ECB balance sheet risk is small compared to the FED and BoE as it neither increased its quasi-fiscal operations as much as …

conduct an econometric analysis of the driving factors of banks’ asset encumbrance, highlighting the relevance of credit risk …, the availability of high quality collateral suitable for encumbrance, capital and sovereign funding conditions. Third, we …

We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …