This paper presents a macro stress-testing model for liquidity risks of banks, incorporating the proposed Basel III … liquidity regulation, unconventional monetary policy and credit supply effects. First and second round (feedback) effects of … shocks are simulated by a Monte Carlo approach. Banks react according to the Basel III standards, endogenising liquidity risk …

College) gave the SUERF 2015 Annual Lecture on Capital and Banks. The conference focused on core aspects of banking reform … regulation, recovery and resolution, and risk culture. …

The determinants of default risk of banks in emerging economies have so far received inadequate attention in the … the economy. Public sector banks have shown significant performance in containing bad debts. Private banks have continued … banks, apart from other accepted determinants of profitability, asset size has no significant impact on profitability. …

We examine the system-wide effects of liquidity regulation on banks’ balance sheets. In the general equilibrium model … requirements induce banks to invest in such complex assets. We evaluate the welfare properties of combining liquidity regulation …, banks have to hold liquid assets, and choose among illiquid assets varying in the extent to which they are difficult to …

options to address this 'doom loop' in which the government may need to raise debt to recapitalise banks, and an increase in … bias in banks sovereign bond holdings by reducing excessive exposure to domestic sovereigns has only limited benefit in …

This paper studies the extent to which monetary policy may affect banks' perception of credit risk and the way banks … indicators on banks' risk weights for credit risk. We present robust evidence of the existence of the risk-taking channel in the … possible side-effects of monetary policy on how banks measure risk. …

This paper studies monetary policy in an economy where banks make risky loans to firms and provide liquidity services … expansiveness of monetary policy to avoid bonds becoming too liquid in support of the liquidity premium banks earn via deposits … in the form of deposits to households. For given bank equity, market discipline implies that banks can take more deposits …

Recession and sovereign debt crisis, many central banks have pursued ultra-easy and far reaching unconventional monetary …