Does short-term debt increase vulnerability to financial crisis, or does short-term debt reflect -- rather than cause … -- the incipient crisis? We study the role that short-term debt played in the collapse of the East Asian financial sector in … 1997-1998. We alleviate concerns about the endogeneity of short-term debt by using long-term debt obligations that matured …

We study rollover risk and collateral value in a dynamic asset pricing model with endogenous debt financing by … borrowers face rollover risk if the belief dispersion between the borrowers and the pessimistic lenders widens after interim bad … news. We demonstrate the optimality of the maximum riskless short-term debt financing for optimistic borrowers even in the …

their risk assessments and outcomes to those from a simple methodology that relies on publicly available market data and … market data; (iii) This discrepancy arises due to the reliance on regulatory risk weights in determining required levels of … capital once stress-test losses are taken into account. In particular, the continued reliance on regulatory risk weights in …

In this paper, we investigate whether U.S. bank holding companies (BHCs) with strong and independent risk management … functions have lower enterprise-wide risk. We hand-collect information on the organizational structure of the risk management … function at the 74 largest publicly-listed BHCs, and use this information to construct a Risk Management Index (RMI) that …

's sovereign debt default. While diversification generates risk diversification benefits ex ante, it also generates contagion ex …We analyze contagious sovereign debt crises in financially integrated economies. Under financial integration banks … optimally diversify their holdings of sovereign debt in an effort to minimize the costs with respect to an individual country …

We analyze government interventions to alleviate debt overhang among banks. Interventions generate two types of rents …

Fire sales are forced sales of assets in which high-valuation bidders are sidelined, typically due to debt overhang … the risk of fire sales, how fire sales can lead to downward spirals or cascades in asset prices, how arbitrage fails in …

Do external imbalances increase the risk of financial crises? In this paper, we study the experience of 14 developed …