conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk … sample selection bias, we show that CoCo bonds issuance has a strong positive e↵ect on risk-taking behaviour, particularly … amplifies the impact of CoCo bonds on risk-taking. …

rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk … assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited … liability. When capital raising is costly, poorly capitalized banks may limit risk to avoid breaching the minimal capital ratio …

of systemic risk and by developing a modeling mechanism through which capital buffers can be allocated efficiently across … systemic banks. First, a Distance-to-Default type measure relates a bank's default risk to its capital requirements. Second, a … the underlying banks. Third, risk minimization and equalization approaches are adopted to allocate the capital …

risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models … to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the …

find that risk-shifting interacts with regulatory arbitrage motives to explain how banks adjust their portfolios after … yielding but zero risk-weight sovereign bonds. The increase in banking system risk might therefore be even larger than the … decline in risk-weighted solvency ratios suggests. Distress in the banking system also feeds back onto bond prices. Bonds …

circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel …) which measures additional returns to compensate for additional share price risk. …

risk externalities. It focuses on the relativemerit of price versus quantity rules, showing how they target different … incentives for risk creation.When banks differ in credit opportunities, a Pigovian tax on short-term funding is efficient in … containing risk and preserving credit quality, while quantity-based fundingratios are distorsionary. Liquidity buffers are either …

We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that are recently …