Several studies have addressed, with conflicting results, the issue of procyclical effects of loan loss provisions in … the past. More recently, the weak performance of incurred loss models in the financial crisis has given rise to a new … expected loss model in IFRS 9. This study contributes to the extant literature by separately analyzing the cyclical effects of …

We investigate the relationship between the transparency of loan loss provision disclosures and the provisioning … mandatory disclosures of loan loss provisions. Using proprietary data provided by the national supervisor, we are able to … observe provisioning practices before and after disclosure becomes mandatory. Our findings suggest that bank managers use loan …

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 role of bank capital as a propagation channel of shocks is strongly pronounced in recent macroeconomic models. In … this paper, we show how the evolution of bank capital depends on the share of non-state-contingent assets in banks’ balance …

bank profits, taxpayers, and consumers. …

requirements. We find that an increase in the bankspecific regulatory capital requirement results in a higher bank capital ratio … and higher bank leverage. We do not observe differences between confidential and public disclosure of capital requirements …. Our results empirically illustrate a tradeoff between bank resilience and a fostering of the economy through more bank …

bank (G-SIB) envisaged by regulators has an impact on the CDS prices of these banks. We find evidence that the CDS spreads … of a G-SIB bank increase (decrease) after the announcement of a higher (lower) capital surcharge. However, this effect is … contributes to the debate on whether being designated as a G-SIB bank necessarily leads to implicit "too-big-to-fail" subsidies …