behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS …) for hedging purposes. Regulation is found to induce the risk-neutral bank to behave in a more risk-sensitive way: Compared …. Under the Substitution Approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its total …

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …

lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank’s credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …

regulatory liquidity requirements on bank behavior. A multi-stage decision situation allows for considering the interaction … between credit risk and liquidity risk of banks. This interaction is found to make a risk neutral bank behave as if it were …