provisions tend to be more procyclical at larger and better capitalized banks. The procyclicality of loan loss provisions can …

Systemically Important Banks (G-SIBs) on bank lending behaviour. Using a difference-in-differences estimation strategy, we find no … loan-specific risk factors for the affected banks. Moreover, we detect a significant decline in the pricing gap between … interest rates charged by G-SIBs and other banks, which we interpret as indirect evidence for a reduction in funding cost …

Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are … banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the … that the same dealer offers to banks and to other investors. We find that banks lending to a corporation purchase CDSs on …

sovereign debt crisis. An unexpected increase in capital requirements for a subset of Portuguese banks in 2011 provides a … natural experiment to study the effects of reduced bank capital adequacy on productivity. Affected banks respond not only by … provisioning. We develop a method to detect when banks delay loss reporting using detailed loan-level data. We then show that the …

We study the interaction between borrowers' and banks' solvency in a quantitative macroeconomic model with financial …

dynamic model, in which forward-looking banks compete imperfectly for deposit funding, but households do not accept negative …

to diagnose key vulnerabilities of national banking systems and estimate short-run economic costs of increasing banks … related to an increase in bank resilience to adverse shocks. Higher capitalisation allows banks to withstand negative shocks … to have a sharply different impact on credit and economic activity depending on the way banks adjust, i.e. via changes in …

procyclicality of banks' loan loss provisioning. We use granular loan-level data from the euro area's credit register and investigate …. Additionally, banks with a larger capital headroom provision significantly more, particularly for loans using IFRS 9. This suggests … a higher risk of underprovisioning for less capitalized banks. …

When the Covid-19 crisis struck, banks using internal-rating based (IRB) models quickly recognized the increase in risk … and reduced lending more than banks using a standardized approach. This effect is not driven by borrowers' quality or by … banks in countries with credit booms before the pandemic. The higher risk sensitivity of IRB models does not always result …

evidence that supervisory scrutiny associated to stress testing has a disciplining effect on bank risk. We ftnd that banks that … participated in the 2016 EU-wide stress test subsequently reduced their credit risk relative to banks that were not part of this … interactions between banks and supervisors during the stress test, we find that the disciplining effect is stronger for banks …