The Basel Committee for Banking Supervision designed a system of risk weights (the so called standardised approach) to … measure the riskiness of banks� loan portfolios. Its ability to adequately reflect risk is empirically investigated in this … when ratings worsen. Second, the estimated spreads per rating class indicate that the risk/rating relationship might be …

We find evidence of a bank lending channel for the euro area operating via bank risk. Financial innovation and the new … ways to transfer credit risk have tended to diminish the informational content of standard bank balance-sheet indicators …. We show that bank risk conditions, as perceived by financial market investors, need to be considered, together with the …

The paper provides an empirical assessment of the market risk exposure of several portfolios representative of real … life investment positions. We employ the notion of value at risk made popular by the recent debate on capital budgeting …

We develop a model which accounts for the observed equity premium and average risk free rate, without implying … counterfactually high risk aversion. The model also does well in accounting for business cycle phenomena. …