To what extent can a central bank influence its own balance sheet credit risks during a
financial crisis through unconventional monetary policy operations? To study this question
we develop a risk measurement framework to infer the time-variation in portfolio credit risks
at a high (weekly) frequency. Focusing on the Eurosystem's experience during the euro area
sovereign debt crisis between 2010 and 2012, we find that the announcement and
implementation of unconventional monetary policy operations generated beneficial risk spill …