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Integration of credit risk and interest rate risk, asset and liability management of banks, economic value, stress testing
countercyclical capital buffers, financial stability, procyclicality
financial (in)stability, risk measurement, macroprudential, procyclicality
funding liquidity, liquidity risk, bidding data, money market auctions, interbank markets
Funding Liquidity, Liquidity Risk, Bidding Behavior, Central Bank Auctions, Interbank Markets
financial cycle, business cycle, credit, asset prices, financial crises, medium-term
Bank runs, contagion, investment behaviour of banks, deposit insurance, systematic banking crisis
Economic capital, risk management, credit risk, interest rate risk, asset and liability management
stress tests, financial instability, macroprudential
Systemic risk, Shapley values, Interbank positions
natural interest rate, financial cycle, monetary policy, credit, business cycle
Economic Capital, Risk Management, Credit Risk, Interest Rate Risk, Asset And Liability Management
Information cascades, herding, network effects, reputation, experiment, internet
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Information cascades, herding, network effects, experiment, internet
EWIs, ROC, area under the curve, macroprudential policy
business cycle, credit boom, leverage, debt service burden, financial-real interactions, financial stability
Systemic risk, funding liquidity risk, contagion, stress testing
new borrowing, debt service, financial cycle, real-financial linkages
E20, E32, E44, G01, business cycle, credit boom, leverage, debt service burden, financial-real interactions, financial stability
early warning indicators; credit gaps; HP filter
new borrowing, debt service, financial cycle, financial flows and real effects
This is a National Bureau of Economic Research Paper. NBER charges a fee of $5.00 for this paper.
File name: nber.pdf Size: 0K
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: ECOP088.pdf Size: 479K
