This paper detects how the Basel II internal ratings based (IRB) approach affects the bank loan pricing mechanism. A multi-period risk-adjusted pricing methodology under the prevalent loan repayment schemes based on the theoretical framework provided by Hasan and Zazzara (2006) is developed. In...

A recent strand of literature emphasizes a scope economy between bank funding and lending, which is related to the banks' role of liquidity providers. These papers find that the presence of demand deposits can “naturally” hedge the liquidity risk stemming from unused loan commitments...

This paper contributes to prior literature and to the current debate concerning the prudential supervisory framework to measure interest rate risk in the banking book (IRRBB), which has been significantly changed on April 2016, when the Basel Committee on Banking Supervision (BCBS) published the...

In this paper we investigate how financial system stability, assessed through market-based systemic risk measures (SRMs), relates to climate-induced catastrophes and to the structural change caused by the low-carbon transition. We first detect whether, to what extent and how quickly SRMs of the...

In this paper we first detect the impact of tech-driven downturns on US and EU diversified financials’ systemic risk measures (SRMs). Then, we study the relationship between these latter and the performance of BigTechs, FinTechs and cryptoassets, as proxied by the performance of specifically...