If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for … conditionally on rating-implied regulatory risk weights. ABS investments of constrained banks tend to perform worse ex post in terms …

risk. In this model, banks face taxation, flotation costs of securities, and default costs and maximize shareholder value …

by introducing a market-based capital measurement that better captures the dynamics of bank risk and returns. Evidence … confirms that these market-based capital adequacy metrics are much more sensitive to risk factors and more responsive to …

This paper investigates contagion between bank and sovereign default risk in Europe over the period 2007–2012. We … less traditional banking activities are particularly vulnerable to risk spillovers. At the country level, the debt ratio is …

assistance on bank risk taking. Bailed-out banks initiate riskier loans and shift assets toward riskier securities after … receiving government support. However, this shift in risk occurs mostly within the same asset class and, therefore, remains … appear safer according to regulatory ratios, but show an increase in volatility and default risk. These findings are robust …

show that transition to risk-free reference rates may exacerbate this friction. The adverse impact on credit supply is …

risk (VaR) into the firm-theoretical model of a banking firm facing the risk of asset return. Given the necessity to …