diversification within large banks and financial conglomerates. We discuss the limited value of the normal distribution based … of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates …

Bank holding companies (BHCs) invest in risky projects through bank entities or sell projects for a fee, thus engaging … in shadow banking. BHCs can increase their fee income by guaranteeing sold projects with a recourse to the bank's balance … sheet. When the expected guarantee repayments depend on total bank proceeds (high capital requirements), BHCs have …

circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel …

. First, Bank of America, JP Morgan and Wells Fargo are consistently in the top 10 throughout the sample. Citigroup and Lehman …

Diamond-Dybvig model cast in a global games framework, we show that while the CoCo conversion of the issuing bank may bring … the bank back into compliance with capital requirements, it will nevertheless raise the probability of the bank being run … on other banks in the system in the likely case of correlated asset returns, so bank runs elsewhere in the banking system …

models. We first show analytically how model specification impacts 'diversification benefits' for aggregated market and …