, contingent capital (CoCo) may be less risky than bail-inable debt as its lower priority is compensated by a lower induced risk … the opposite effect. This is in contrast to traditional convertible debt, since CoCo bondholders have a short option … position. As a result, principal write-down CoCo debt is most desirable for risk preventive pur- poses, although the effect may …

the design of the loss absorption mechanism affects the stability of bank funding and distinguish between Conversion …. As we show, the first two loss absorption mechanisms unambiguously improve a bank's stability of funding position. By … uncertainty regarding a bank's ex post solvency position. Bank managers, investors as well as supervisors and regulators should be …

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

- 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 …

quantitative models in a new perspective. This knowledge may prove valuable for regulators who aim to understand bank behaviour and …

quantitative models in a new perspective. This knowledge may prove valuable for regulators who aim to understand bank behaviour and …

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 …

the security level for each bank in each period, we find that during the crisis, banks with higher trading expertise …

Bank distress can have severe negative consequences for the stability of the financial system, the real economy, and … for public finances. Regimes for the restructuring and resolution of banks, financed by bank levies and fiscal backstops …, seek to reduce these costs. Bank levies attempt to internalize systemic risk and to increase the costs of leverage. This …