16  supply of safe European assets, facilitating the general functioning of financial markets and the specific conduct of monetary policy. 17  References Aguilar, P., Ó. Arce, S. Hurtado, J. Martínez-Martín, G. Nuño and C. Thomas (2020). “La respuesta de la política monetaria del BCE frente a la crisis del COVID-19”, Occasional Paper, Banco de España, forthcoming. Andreeva, D. and M. García-Posada (2019). The impact of the ECB´s targeted long-term refinancing operations on banks’ lending policies: the role of competition, Working Paper No. 1903, Banco de España. Arce, Ó., R. Gimeno and S. Mayordomo (2017). Making room for the needy: the creditreallocation effects of the ECB’s corporate QE, Working Paper No 1743, Banco de España, forthcoming in Review of Finance. Arce, Ó., I. Kataryniuk, P. Marín and J. J. Pérez (2020). Thoughts on the design of a European Recovery Fund, Occasional Paper No 2014, Banco de España. Arce, Ó., M. García-Posada, S. Mayordomo and S. Ongena (2018). Adapting lending policies when negative interest rates hit banks’ profits, Working Paper No 1832, Banco de España. Arce, Ó., G. Nuño and C. Thomas (2019). “The Eurosystem’s monetary policy following the end of net asset purchases”, Analytical Articles, Economic Bulletin 1/2019, Banco de España. Bernanke, B. S., M. T. Kiley and J. M. Roberts (2019). “Monetary Policy Strategies for a LowRate Environment”, AEA Papers and Proceedings, No 109, pp. 421-426. Brunnermeier, M. K., and Y. Koby (2018). The Reversal Interest Rate, NBER Working Paper, No 25406. Eggertsson, G. and M. Woodford (2003).
Because of the sensitivity of this model, the analysis is supplemented by Value-at-Risk calculations, risk contribution analyses and stress tests. Value-at-Risk is an estimate of potential loss risk and is defined as the largest expected decline in value of an asset, or an asset portfolio, with a specific probability and over a specific period of time. 2  BIS Review 33/2006  As you can see, our largest holding is in euro. This is not surprising, as the relationship between the euro and the krona has remained relatively stable. Historically, the currency risk attributable to our euro holding has thus been less than that attributable to other currencies in the reserve. The dollar, on the other hand, has been one of the highest risk currencies. The fact that we nevertheless have a relatively large dollar exposure is due to its importance as intervention currency. It is reasonable to wonder why we do not choose to convert some of the currency assets into Swedish assets as long as we have a floating exchange rate regime. In this way the currency risk on these assets would disappear completely. In practice, however, this is not so easy as such a conversion would mean that we intervened in the foreign exchange market. In addition, when and if the Government decides that the krona should be part of a fixed exchange rate regime, we would be forced to intervene again to build up the foreign exchange reserve.