The paper evaluates the impact of macroprudential capital regulation on bank capital, risk taking behaviour, and … solvency. The identification relies on the policy change in bank-level capital requirements across systemically important banks …

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 …