A new paper by an ECB researcher puts forward a new model of banks' asset portfolios, with the aim of accounting for the strategic and optimising behaviour of banks under adverse economic conditions.

In his modelling framework proposed in his paper: Optimal asset structure of a bank, Grzegorz Hałaj assumes banks respond in an optimising manner to changes in their economic environment (e.g. interest rate and credit risk shocks, funding disruptions). The modelling approach is based on the risk