loans has a positive effect on the economy. The formal setup is a DSGE model with different types of borrowers and banks …

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity … indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary equities …. The technique for computing them combines risk-neutral return distributions with implied return correlations drawn from …

been purchased by non-financial agents, rather than held by banks. This is because banks are subject to capital … requirements and if MBS remain within the banking system, the fall in their value puts a strain on banks' balance sheets. The …

of the subsidies accruing to systemic banks in Canada. The first is based on credit rating agencies' assessment of public … and temper the risk sensitivity of funding costs. This potentially increases the likelihood of bailouts from taxpayers …

The study conducts an empirical test on dollar-denominated sovereign credit spreads in emerging markets, including … the model are foreign exchange rates and US risk-free interest rates that follow a double square-root process relevant in … a low interest rate environment. The numerical results and associated error analysis show that the model credit spreads …

the issuing bank and their implications for risk taking and investment incentives. Finally, we use our model to explain …

We present a banking model with imperfect competition in which borrowers' access to credit is improved when banks are … able to transfer credit risks. However, the market for credit risk transfer (CRT) works smoothly only if the quality of … loans is public information. If the quality of loans is private information, banks have an incentive to grant unprofitable …

This paper considers a simple model of credit risk and derives the limit distribution of losses under different … through active credit portfolio management. However, if the firm risk exposures are draws from different parameter … unexpected loss or value-at-risk. The theoretical results are confirmed empirically using returns and credit ratings for firms in …

We highlight the ex ante risk-shifting incentives faced by a bank's shareholders/managers when CoCos (contingent … convertible capital) are part of the capital structure. The risk shifting incentive arises from the wealth transfers that the … principal writedown and nondilutive equity-converting CoCos, shareholders/managers have an incentive to take on more risk to …