Little is known about the location of bank risk, i.e., which investors in which countries hold bank-issued securities … like bonds and stocks. In this paper, we analyze the (re-)distribution of bank risk across asset classes (short- and long … contains information on securities holdings at the ISIN level. Our main findings are as follows. First, bank risk is held …

We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution …-and-h distributed residuals to three European stock indices and provide results of out-of-sample Value-at-Risk backtests. We find that …

share risk is constrained by the market. This can be beneficial because intermediaries invest less in the productive …

In many models of financial intermediation, markets reduce welfare because they limit the amount of risk …-off between risk sharing and growth arises endogenously. In the model, financial intermediaries provide insurance to households … ability of intermediaries to share risk is constrained by the market. This can be beneficial because intermediaries invest …

allows returns to be smoothed, nondiversifiable risk to be eliminated, and an ex ante Pareto improvement compared to the … allocation in the market equilibrium to be achieved. In a mixed financial system, however, competition from financial markets …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

Pareto optimality and generates the allocation obtained in the complete Arrow-Debreu setting despite drastically fewer … implement risk management in the real world …

Interest rate risk is the exposure of a bank's financial condition to adverse movements in interest rates. Changes in … for assessing a bank's interest rate risk exposure: earnings perspective and economic value perspective. Changes in banks …' competitive environment, products, and services have heightened the importance of prudent interest rate risk management. The paper …