for financial stability outcomes. Using firm-level data for 55 countries over 1991-2016, we show that the riskiness of …

haircut is typically calculated with a simple Value at Risk estimation of the collateral for the purpose of preventing the … risk associated to volatility. However, other risk factors should be included in the haircut and a severe undervaluation of … stylized model of the financial system, which allows us to compute the haircut incorporating the liquidity risk of the …

and analyzes its implications for risk using a structural model of credit risk. The analysis suggests that market … financing has played a more important role in financing French firms than the euro area as a whole. The credit risk of French …

covenants linked to performance. Risk management attenuates the effect of uncertainty on the inclusion of financial covenants … the choice and use of financial covenants in private and public debt contracts, as well as the role that risk management … while firms characteristics especially related to default risk intensify the effect. In bond contracts, uncertainty …

interest rate duration and time-varying exposure to default risk. We estimate a regime switching model and show that shocks to … default risk have a large impact on loan returns when leverage is high and a much smaller impact on loan returns when leverage … is low, consistent with standard models of credit risk pricing. As a result, the systematic risk exposure of corporate …

. Overall, the model offers an easily implementable aggregate risk metric capturing the perspectives of synthetic investors and …

We study the effect of bank reliance on CLO funding on bank risk. We document that an exogenous increase in CLO funding … on their balance sheets despite the rise in origination. The performance of the loans they retain on their balance sheets … also improves, further strengthening bank conditions. Our results contribute to the literature in bank risk management and …

paper shows that using rollover risk as a disciplining device is effective only if all banks face purely idiosyncratic risk … aggregate states, but with opposite effects. -- rollover risk ; market discipline ; bank runs ; fire sales ; global games …

important banks (SIBs). Its purpose is to examine consequences that follow for risk choices of SIBs, as well as for Germany … to offset risk reductions achieved on the micro level. …