How do real interest rates affect financial fragility? We study this issue in a model in which bank borrowing is … subject to rollover risk. A bank’s optimal borrowing trades off the benefit from investing additional funds into profitable … assets with the cost of greater risk of a run by bank creditors. Changes in the interest rate affect the price and amount of …

In the recent financial crisis, risk management tools have been proven inadequate. Model risk, a key component of bank … the bank has to incentivize an agent to perform innovative improvement in the risk model technology. …

Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence … and stave off bank runs. However, as the experience of some European countries, most notably Ireland, has demonstrated … the rollover risks of a bank and a government, which are connected through the government's guarantee of bank liabilities …

probability of a sharp decline in a bank’s stock price conditional on a crash in a banking index. Subsequently, the impact of (the … in extreme bank risk is attributed to differences in the scope of non-traditional banking activities: non …

This paper analyses whether the introduction of capital requirements for bank government bond holdings increases … in combination with a central bank acting as a lender of last resort, capital requirements for government bonds increase …-induced change in bank investment behaviour. …