, maximize put option value - by pursuing riskier strategies. For safe banks with large charter value, however, the risk … value, and a risk measure, this paper develops a semi-parametric model for estimating the critical level of bank risk at … which put option value starts to dominate charter value. From these estimates, we infer the extent to which the risk …

Remarks at Institute of International Bankers Seminar on Risk Management and Regulatory/Examinations Compliance Issues …

This paper investigates the incentives for banks to bias their internally generated risk estimates. We are able to … estimate bank biases at the credit level by comparing bank-generated risk estimates within loan syndicates. The biases are … credits. In addition, we find that low-capital banks’ risk estimates have less explanatory power than those of high …

shock to the level of banks’ solvency risk is followed by lower short-term debt. Conversely, higher short-term debt Granger …-causes higher solvency risk. These results point toward a tight interaction between solvency and liquidity risk over time. My …