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 …

In the last decade, stress tests have become indispensable in bank risk management which has led to significantly …

risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …

that supervision should include a comprehensive view of different bank risk dimensions. …

covariates. We quantify the effect of model uncertainty on supervisory and bank stress tests in terms of predicted portfolio loss …

transformation seem to account for a much smaller share (about 20%) of the median bank's net interest margin. …

set includes the volume of loans per bank and industry as well as the corresponding write-downs. Our empirical study for … regional factors, the loans' maturity structure is found to drive the bank-wide loss rates in the credit portfolio. (ii) The …