This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity … indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary equities …. The technique for computing them combines risk-neutral return distributions with implied return correlations drawn from …

terms of the program. We also find that the net value varies widely across banks. We compare our estimates with abnormal … stock price returns for the stress test banks at the time the terms of the CAP announced; we find correlations between 0 ….78 and 0.85, depending on the precise choice of period and set of banks included. These results suggest that our valuation …

assets and lending allocations fall to 22 percent. Banks with low risk tolerance or less access to liquidity are particularly …This paper empirically investigates banks' investment allocations over the recent business cycle. I identify … the pre-recession period, banks lend 38 percent of incremental deposits; however, during the downturn, banks favor liquid …

This paper investigates the incentives for banks to bias their internally generated risk estimates. We are able to … estimate bank biases at the credit level by comparing bank-generated risk estimates within loan syndicates. The biases are … credits. In addition, we find that low-capital banks' risk estimates have less explanatory power than those of high …

lending. We find that the guidance primarily impacted large, closely supervised banks, but only after supervisors issued … more lax lending policies than banks, we unveil important evidence that nonbanks increased bank borrowing following the … issuance of guidance, possibly to finance their growing leveraged lending. The guidance was effective at reducing banks …

-off between lower liquidity creation and lower run risk from reduced liquidity mismatch of the largest banks. …We examine liquidity creation per unit of assets by banks subject to the Liquidity Coverage Ratio (LCR) using the … asset pair with different LCR weights, and the differential implementation of LCR by the very large and less-large LCR banks …

We estimate the cost of capital for the banking industry and find that while the cost of capital soared for banks in … the financial crisis, after the passage of the Dodd-Frank Act, the value-weighted cost of capital for banks fell … differentially more than did the cost of capital for nonbanks. The very largest banks drive the decline in expected returns. Over a …

Historically, nonfinancial corporations relied on performance targets linked to their EPS. Up until the 1970s, banks … explaining banks' market values. In this paper we present a model of a bank with fixed-rate deposit insurance that faces …

in the availability of credit. Using data from the nationally representative Surveys of Small Business Finances, which … availability of credit to male- and female-owned firms. More specifically, female-owned firms are significantly more likely to be … credit-constrained because they are more likely to be discouraged from applying for credit, though not more likely to be …