The Internal Rating Based (IRB) approach is a regulatory approach that allows the banks to estimate the Probability of Default (PD) using own model. The estimated PD is then used in the calculation of the regulatory capital, thus the bank's capital is affected by any uncertainties found in the...

How much safety and liquidity can the US government provide? Should it accommodate demand for these attributes because high convenience yields in Treasuries lower its cost of borrowing? We evaluate a novel fiscal risk channel limiting the government's capacity to provide such services. Rising...