first comprehensive empirical analysis of bank CoCo issues, a market segment that comprises over 730 instruments totaling …

-dependent bank capital regulation (CR). Bank leverage choices are subject to the risk-return trade-off: high leverage increases … expected return on capital, but also increases return variance and bank failure risk. Financial frictions imply that bank … leverage choices are socially inefficient, providing scope for a welfare-enhancing CR that imposes a cap on bank leverage. The …

counter-cyclical capital schemes is whether conditioning variables are bank-specific or system-wide. The evidence presented in … the paper indicates that the idiosyncratic component can be sizable when a bank-specific approach is used. This makes a …

unique dataset that covers almost all bank-firm relationships in Italy in the period 2004-2013, we find that during the …

, focusing on short-term gains but risking further losses if rates rose. Instead of hedging the market value risk of bank asset … fluctuations. More vulnerable banks were more likely to reclassify. Extending Jiang et al.'s (2023) solvency bank run model, we …

The global financial crisis has highlighted the limitations of risk-sensitive bank capital ratios. To tackle this … steady state value of the regulatory minima for the two ratios strongly depends on the riskiness and the composition of bank …

This paper investigates the relationship between short-term interest rates and bank risk. Using a unique database that …

bank funding costs. We show that credit supply is dampened by the associated debt-overhang cost to bank shareholders. Until … offset if drawdowns are expected to be left on deposit at the same bank, which happened at some of the largest banks during …

Motivated by the regional bank crisis of 2023, we model the impact of interest rates on the liquidity risk of banks … valuable if depositors remain in the bank. This creates run incentives for uninsured depositors. We show that a run equilibrium … the bank. The liquidity risk of the bank thus increases with interest rates. We provide a formula for the bank's optimal …