offset if drawdowns are expected to be left on deposit at the same bank, which happened at some of the largest banks during …

exposure in bad times. We apply this idea to bank risk measurement. We find that banks with high accounting return on equity …

Traditionally, banks and financial intermediaries borrow short and lend long. This causes a risk of negative net worth …

We show that maturity transformation does not expose banks to significant interest rate risk--it actually hedges banks …' interest rate risk. We argue that this is driven by banks' deposit franchise. Banks incur large operating costs to maintain … their deposit franchise, and in return get substantial market power. Market power allows banks to charge depositors a spread …

We show empirically that banks' exposure to interest rate risk, or income gap, plays a crucial role in monetary policy … transmission. In a first step, we show that banks typically retain a large exposure to interest rates that can be predicted with …

In the face of rising interest rates in 2022, banks mitigated interest rate exposure of the accounting value of their … derivatives left most assets unhedged. The banks most vulnerable to asset declines and solvency runs decreased existing hedges … declines, banks used accounting reclassification to diminish the impact of interest rate increases on book capital. Banks …

Motivated by the regional bank crisis of 2023, we model the impact of interest rates on the liquidity risk of banks …. Prior work shows that banks hedge the interest rate risk of their assets with their deposit franchise: when interest rates … savings accounts thus poses stability risks to banks. The risks increase with interest rates and are amplified by other …

of log-normally distributed asset values is not appropriate for banks. Typical bank assets are risky debt claims, which … consequences for banks' risk dynamics and distance to default estimation. Due to the payoff non-linearity, bank asset volatility … volatility is assumed to be constant can severely understate banks' default risk in good times when asset values are high. Bank …

credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually … disappeared since April 1999, credit and default risks of Japanese banks has not necessarily disappeared. Other indicators show … varying degrees of fragility among Japanese banks in 1998-2001. Banking stock prices continue to slide compared to the market …