Chami, Ralph; Cosimano, Thomas F.; Ma, Jun; Rochon, Céline - In: Journal of Risk and Financial Management 15 (2022) 5, pp. 1-32
We develop a dynamic model of a BHC that encompasses both a trading desk and a loan desk, and explore the role of risk attitude and overleveraging by the trading desk. We trace the impact of monetary policy and market innovations on bank behavior in the presence of Basel III type regulations. We...
