lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …

- built upon a rich, non-linear dependence structure for interconnected bank portfolios. Incorporating numerous sector … model-based combined requirements range between 6.3% and 27.2% of credit RWA depending on the bank. A comparison with the …

interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending …

the Basel II agreement on the pro-cyclicality of bank lending and firms' access to funds during a recession. In response …

We examine the role of bank balance sheet strength in the transmission of financial sector shocks to the real economy … bank credit. We find that banks with strong balance sheets were better able to maintain lending during the crisis. In … that strong bank balance sheets are key for the recovery of credit following crises, and provide support for regulatory …

In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that …

an inverted U-shaped relationship between capital requirements and bank lending, efficiency, and welfare, with their …This paper studies the impact of bank regulation and taxation in a dynamic model where banks are exposed to credit and … benefits turning into costs beyond a certain threshold. By contrast, liquidity requirements reduce lending, efficiency and …