differences in LGDs imply that, for an identical loan portfolio, the bank that sets the highest LGDs would have Basel II minimum … large U.S. banks assign to syndicated loans for regulatory capital purposes. Using internal bank data on loans that had PDs … and LGDs assigned by more than one bank, we find substantial dispersion in these parameters. Banks differ substantially in …

optimally tilt their government bond portfolio toward domestic securities, linking their destiny to that of the sovereign. If …, in the context of the eurozone periphery, the increase in domestic government bond holdings, the reduction of bank credit …

in bank capital requirements. Intuitively, higher capital requirements raise banks’ skin in the game and screening out …

We exploit variation in commercial bank capital ratios across states to identify the impact of commercial bank balance … indicate a lack of substitutes for bank funding both in the short and long run. This lack of substitutes implies a notable … highlight the potential effects that bank balance sheet pressures, for example, from tightening capital adequacy standards, such …

the banks' trading revenues and help to explain the bank VaR performance results. While highly conservative in the pre …-crisis period, bank VaR exceedances were excessive and clustered in the crisis period. All benchmark VaRs were more accurate in the …-period market conditions. Despite their weaker performance, the bank VaRs exhibited greater predictive power for a measure of …

change charters, an effect that is large for both national and state charters. In addition, controlling for bank ratings …