We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds … in three steps: First, using data from liquidity auctions of the European Central Bank, we estimate the funding costs in … a given week for each individual bank. In the second step, we apply the adaptive elastic net (a LASSO type estimator) to …

When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in … explains how the distribution of bank leverage and risk exposures contributes to a form of systemic risk. We compute bank …

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …

-of-second-to-last-resort". Using daily supervisory bank balance sheet information, we find that U.S. GSIBs modestly increase their dollar liquidity … broker-dealer subsidiaries within the same bank holding company are crucial to this type of "reserve-draining" intermediation …

Bank holding companies (BHCs) can be complex organizations, conducting multiple lines of business through many distinct … legal entities and across a range of geographies. While such complexity raises the costs of bank resolution when …, liquidity management, and synergy improvements that reduce risk. The outcomes of such trade-offs may depend on bank governance …

to individual banks in the Merton tradition (1974) as a combination put option for the deep tail of bank losses and a … knock-in stop-loss call on bank assets. This model expresses the value of taxpayer loss exposure from a string of defaults … the face value of the debt of the entire sector. We conceive of an individual bank's systemic risk as its contribution to …

financial crisis of the 20th century - the Great Depression. Using balance-sheet and systemic risk measures at the bank level …, we build an econometric model with incidental truncation that jointly considers bank survival, the type of bank closure … (consolidations, absorption, and failures), and changes to bank risk. Despite roughly 9,000 bank closures, risk did not leave the …

exposure in bad times. We apply this idea to bank risk measurement. We find that banks with high accounting return on equity … triggered by the collapse of Silicon Valley Bank. ROE predicts systematic tail risk much better than conventional measures based …

This paper is the first to study the effect of financial restatement on bank loan contracting. Compared with loans …