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 …

This paper identifies bank-specific-characteristics and market conditions that contribute to determine prices and … relationships benefit banks in hedging liquidity risk. We also document that central bank liquidity increments are associated with a …