risk in the U.S. banking sector. We estimate the sensitivity of weekly bank trading net profits to a variety of aggregate …

Because they engage in maturity transformation, a steepening of the yield curve should, all else equal, boost bank … profitability. We re-examine this conventional wisdom by estimating the reaction of bank intraday stock returns to exogenous … repricing time or maturity of bank assets and liabilities and analyze how the reaction of stock returns varies with the size of …

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 …

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 … PDs, but only a few set PDs systematically higher or lower than the median bank. However, many banks differ from the …

), our approach estimates bank asset holdings at higher frequencies which allows us to derive precise estimates of (i …

to a statistically significant and negative impact on the real economy. This impact increases with the size of the bank … the stringency of regulatory standards should vary with bank size, and support the idea that the largest banks should be …

The Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) requires large bank holding companies (BHCs) to … median bank range from the 90th percentile to above the 99th percentile of the operational loss distribution …

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 …