industry and proposed in the literature. We stress test the economic value of equity of a bank balance sheet based on Call … Report data from a large U.S. bank. We show that our method provides more information about the bank’s exposure to IRR using …

This paper investigates contagion between bank and sovereign default risk in Europe over the period 2007–2012. We … common factors, using CDS spreads at the bank and at the sovereign level. Moreover, we investigate the determinants of … contagion by analyzing bank-specific as well as country-specific variables and their interaction. Using the EBA’s disclosure of …

. Our contributions are fourfold: (1) solving a simple one-period model that describes the optimal bank policy under credit … and the interaction between different rates. Our results enable simulation of bank balance sheets over time given a bank …’s lending strategy and provides a basis for an optimization model to determine bank asset–liability management strategy …

This paper explores the extent to which interest risk exposure is priced into bank margins. Our contribution to the …

by introducing a market-based capital measurement that better captures the dynamics of bank risk and returns. Evidence …

The role of national governance upon bank-level risk in the Asian region is analysed. Improvements in national … governance are risk reducing at the bank level in developed nations in the Asian region, and over the longer run for those … nations affected by the Asian Financial Crisis. A U-shaped relationship between bank risk and bank capital is found, and it is …

This paper shows how main bank rent extraction affects corporate decisions about investment and financing during … financial regulatory reform. Our model predicts that limited loanable funds can initially contain main bank controlled … bank debt for downside risk” bias against the banks. A stock market and real estate boom in Japan made it harder than ever …

This paper investigates the relationship between the two major sources of bank default risk: liquidity risk and credit … these two risk sources on the bank institutional-level and how this relationship influences banks’ probabilities of default … increase the PD, the influence of their interaction depends on the overall level of bank risk and can either aggravate or …

This paper investigates the relation between bank dividends and bank risk over the period 1984–2011, and assesses the … aspects of bank behavior (Basel Committee on Banking Supervision, 2009), these results are of interest to bank regulators and …