For central banks, it is crucial to develop and maintain risk identification frameworks that allow them to detect in … categories depending on the risk monitored: standard or systemic risks. Given the multidimensional nature of systemic risk, its … to be comprehensively monitored. Nevertheless, maintaining an adequate risk-identification framework requires continuous …

whether they took on unwarranted credit risk by providing other than ultra-short liquidity. I propose a model in which …

whether they took on unwarranted credit risk by providing other than ultra-short liquidity. I propose a model in which …

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 …

in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood …, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the … collateral framework of the Eurosystem as a basis of illustration and case study, the paper brings to light the functioning …

bank's incentives to set looser collateral standards increase. This reduces the risk of deficient bank lending if … bank's choice of collateral standards in its lending facilities. Optimism on the side of banks, entailing a higher … collateral value of bank loans, can lead to excessive lending and bank default. Pessimism, though, can entail insufficient …

We study how the Eurosystem Collateral Framework for corporate bonds helps the European Central Bank (ECB) fulfill its … due to the increased supply and demand for pledgeable collateral following eligibility, (i) securities lending market … collateral supply, thereby making the market more cohesive and complete. Following eligibility, bond-issuing firms reduce bank …