We study the performance and behavior of Value at Risk (VaR) measures used by a number of large banks during and before …

supervisory attention to assess the effect of supervision on financial institutions' willingness to take risk. We show that the … affected institutions took on much more risk than their unaffected counterparts in other districts that were subject to … years later, additional risk taking by the affected thrifts ceased. We find that the expansion in risk taking resulted in a …

and run risk. Banks choose between liquid and illiquid assets on the asset side, and between deposits and equity on the … as to provide liquidity and risk-sharing services to the real economy. Our modifications create wedges in the asset and …

-to-income ratios present a greater likelihood of house price correction, we find no evidence that banks managed this risk by building … stronger capital buffers. Our results suggest that there is scope for improved measures of mortgage loan risk that could be … considered for regulatory and risk management applications …

, with mimicking occurring only when competitors are taking more risk. Accordingly, this strategic behavior increases banks …' default risk and overall systemic risk, highlighting the importance of regulating liquidity risk from a macroprudential …

regulatory capital twice as large as the bank that sets the lowest LGDs. We argue that these differences in risk parameters … re lation between banks' LGDs and their shares in loan syndicates, suggesting that differences in risk parameters have …

-term bondholders and (mostly) risk-taking long-term bondholders. We establish that investor demands for safety create a negative …

Operational risk models, such as the loss distribution approach, frequently use past internal losses to forecast …

We adopt a systemic risk indicator measured by the price of insurance against systemic financial distress and assess … individual banks' marginal contributions to the systemic risk. The methodology is applied using publicly available data to the 19 … bank holding companies covered by the U.S. Supervisory Capital Assessment Program (SCAP), with the systemic risk indicator …