Papers & Reviews

  • 04 Septiembre 2017
The risk-taking channel of monetary policy in the US: Evidence from corporate loan data

Keywords: Bank risk; monetary policy; US commercial banks; Total loans; New loans.

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  • 23 Agosto 2017
Multiple lending, credit lines and financial contagion

Keywords: Interbank market, Financial contagion, Systemic risk, Multiple lending, Credit lines.

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  • 11 Agosto 2017
Investment commonality across insurance companies: Fire sale risk and corporate yield spreads

Keywords: yield spread, fire sales, regulation, credit rating, corporate bonds, insurance companies, capital constraints.

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  • 07 Agosto 2017
Credit ratings of domestic and global agencies: What drives the differences in China and how are they priced?

Keywords: Credit ratings, split ratings, state-owned firms, Chinese bond markets.

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  • 24 Julio 2017
M-PRESS-CreditRisk: A holistic micro and macroprudential approach to capital requirements

Keywords: Systemic Credit Risk, Tail Risk, Stress Testing, Microprudential Capital Requirements, Systemic Risk Buffer, O-SII Buffer, Hierarchical Archimedean Copula.

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