cumulative abnormal returns (|CAR|) of stress-tested bank holding companies averages almost 3 percent. Cumulative abnormal … Sapra (2014) but find no evidence of negative welfare costs associated with the disclosure of stress test results. …

We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … portfolio credit risks associated with such operations. The framework accommodates a large number of bank and sovereign …

widespread stress, with adverse affects on bank intermediation thereafter. We discuss the bank capital and the bank funding … conclude by discussing the increasing extension of bank credit lines to non-bank financial intermediaries, as well as the role …

member states. Measuring each bank's precise exposure to every sovereign issuer became a key issue for credit analysis in the …

literature. This paper seeks to study the determinants of bank asset quality and profitability using panel data techniques and … contrary to the general perception. Similarly, with regard to rural bank branches, the results reveal that aversion to rural …

We propose a simple model that captures the link between bank and sovereign credit risk. It allows evaluating policy … government debt raises sovereign risk and in turn generates potential bank losses via their (sovereign) bond holdings. Hence, an … framework based on detailed actual bank balance sheets and test the model on 35 large EU banking groups, across 7 European …