securities with the highest yield and lowest collateral quality among ABS with the same regulatory risk weight. This ABS …

of collateral delinquency and lose value. Differences in bank sophistication, market power, or incentives to retain …

like in the core countries had the ECB conducted monetary policy prior to 1999. Finally, while estimation using real …

synthetic indices of systemic risk for each bank. An additional set of systemic risk indicators is computed by considering … together the network of conditional tail risk and bank-specific indicators of credit risk (in particular we use the ratio of …

collateral haircuts and the endogenous risk of a liquidity-driven bank run. We then test the model’s predictions using a novel … asset encumbrance increases bank risk, although this relationship is rather heterogeneous …