This paper analyzes the contagion effects associated with the failure of Silicon Valley Bank (SVB) and identifies bank … held-to-maturity securities, bank size, and cash holdings had a significant impact, while better-quality assets or holdings …

exposure in bad times. We apply this idea to bank risk measurement. We find that banks with high accounting return on equity … triggered by the collapse of Silicon Valley Bank. ROE predicts systematic tail risk much better than conventional measures based …In competitive capital markets, risky debt claims that offer high yields in good times have high systematic risk …

A lending boom is reflected in the composition of bank liabilities when traditional retail deposits (core liabilities …. We formulate a model of credit supply as the flip side of a credit risk model where a large stock of non-core liabilities … serves as an indicator of the erosion of risk premiums and hence of vulnerability to a crisis. We find supporting empirical …

bank funding costs. We show that credit supply is dampened by the associated debt-overhang cost to bank shareholders. Until … show that transition to risk-free reference rates may exacerbate this friction. The adverse impact on credit supply is … offset if drawdowns are expected to be left on deposit at the same bank, which happened at some of the largest banks during …

This paper considers the meaning of domestic and international systemic risk. It examines scenarios that have been … adduced as creating systemic risk both within countries and among them. It distinguishes between the concepts of real and … pseudo-systemic risk. We examine the history of episodes commonly viewed either as financial crises or as evidencing systemic …

(BHC) assets across U.S. metropolitan statistical areas (MSAs) on BHC risk. We find that the geographic expansion of bank …We develop a new identification strategy to evaluate the impact of the geographic expansion of bank holding company … assets reduces risk. Moreover, geographic expansion reduces risk more when BHCs expand into economically dissimilar MSAs, i …

monetary policy. The theory unifies an endogenous supply of illiquid local loans and risk-sharing among subsidiaries of bank …

widespread stress, with adverse affects on bank intermediation thereafter. We discuss the bank capital and the bank funding … conclude by discussing the increasing extension of bank credit lines to non-bank financial intermediaries, as well as the role …