Meiselman, Ben S.; Nagel, Stefan; Purnanandam, Amiyatosh - National Bureau of Economic Research - 2023
In competitive capital markets, risky debt claims that offer high yields in good times have high systematic risk … exposure in bad times. We apply this idea to bank risk measurement. We find that banks with high accounting return on equity … (ROE) prior to a crisis have higher systematic tail risk exposure during the crisis. Proximate causes of crises differ, but …