finance premium, while a BGG model generates too low volatility. The full model also matches the procyclicality of bank …

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

total of ten different structuring styles. These include bi-partite structures between a bank and a counterparty, tri …

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 …

are more likely to enter foreign markets by means of foreign direct investment. We combine detailed proprietary bank …-level data on the international activities of all German banks with publicly available bank micro data from possible destination …

assets by secondary market investors. This hampers a troubled bank's recourse to liquidity and increases the incidence of … bank runs, potentially unleashing a wave of investor pessimism that can drive otherwise solvent banks into illiquidity. We … quantify this contagion channel in the context of the Bank of Canada's model of the Canadian banking system and a stress …

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

German savers are renowned for preferring safe, long-term investments, thus providing patient capital, with bank … heterogeneity depending on banks' governance structures. The announcement of a state guarantee for bank deposits following the …