This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the … literature is twofold: First, we present an extended model of Ho and Saunders (1981) that explicitly captures interest rate risk … and returns from maturity transformation. Banks price interest risk according to their individual exposure separately in …

Based on a non-linear equilibrium model of the banking sector with an occasionally binding equity issuance constraint … large: up to 10% more loans for a capital requirement release of 1pp. Compared to existing DSGE models with a banking sector …

We estimate a dynamic structural banking model to examine the interaction between risk-weighted capital adequacy and … regulatory minima. Tighter risk-weighted capital requirements reduce loan supply and lead to an endogenous fall in bank …

portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …

Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed … stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal … expected shortfall, and option-based tail risk estimates. We show that CoVaR exhibits undesired characteristics in the way it …

shocks affecting banks’ capital, liquidity and credit quality as well as revised banklevel risk perceptions. Relationship … banking is not capable of containing these frictions, as hard information seems to dominate soft information. In detail, we …

international banks, including the reasons for heterogeneity in transmission across banks. The International Banking Research … studies conducted in 11 countries to explore liquidity risk transmission. Among the main results is, first, that explanatory … power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …