This paper examines the common factors that drive the returns of U.S. bank holding companies from 1997 to 2005. We compare a range of market models from a basic one-factor model to a nine-factor model that includes the standard Fama-French factors and additional factors thought to be...

Stress testing served us well as a crisis management tool, and we see it applied increasingly to peacetime oversight of banks and banking systems. Stress testing is rapidly become the dominant supervisory tool on both sides of the Atlantic. Yet the objectives and certainly the conditions are...

Banks as financial intermediaries are broadly exposed to a wide range of economic and financial risk factors. We parse climate risk into its two main types: physical risk such as sea level rise and transition risk such as climate related policy changes (e.g., efficiency requirements or carbon...