support to member countries lacks credibility. Some form of fiscal risk sharing is indeed better than none, especially in … presence of increasing sovereign default risk of some EU member countries. The moral hazard created by risk sharing can be … costs. When these are low, risk sharing and delegation are substitutes and it is optimal to opt for high delegation and low …

Objective - This paper uses a sample of annual observations of European banks to examine whether the liquidity risk … affects a bank's risk-taking behavior and its future loan growth.Methodology – A sample of European banks (27 member countries … of the European Union plus U.K.) over the period of 2005 to 2019 are used in this study. Liquidity risk is measured by …

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …

Through the lens of market participants' objective to minimize counterparty risk, we investigate central clearing in … derivatives markets, and its interaction with systematic risk, portfolio directionality, and loss sharing. Previous studies … suggest that central clearing always reduces counterparty risk for a sufficiently large number of clearing members. We show …

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …

A systemic risk measure is proposed accounting for links and mutual dependencies between financial institutions … utilising tail event information. FRM (Financial Risk Meter) is based on Lasso quantile regression designed to capture tail … systemic risk at selected areas and identifies risk factors. In practice, FRM is applied to the return time series of selected …

“Safe assets” is a catch-all term for financial contracts that market participants treat as if they were risk ….S. economic output that year.To treat any contract as if it were risk-free seems delusional after apparently super-safe public and ….Precisely because there are no risk-free contracts, state intervention supplies the essential infrastructure to let people act as if …

building a dynamic stochastic general equilibrium model linked to global climate and a catastrophe risk model specifically for … drawing strong conclusions about the relevance of climate risk, as the model focused only on typhoons’ physical capital …