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 …

internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the … presence of supervision by bank regulators. The model uses a principal–agent setting between a bank's owner and its risk … standard approach subsequent to becoming regulated, i.e., the presence of regulation may induce a bank to decrease the quality …