Narrow search
Showing 1 - 10 of 123
Cover Image
U.S. Banks’ Exposures to Climate Transition Risks
Jung, Hyeyoon; Santos, João A. C.; Seltzer, Lee - 2023
We build on the estimated sectoral effects of climate transition policies from the general equilibrium models of Jorgenson et al. (2018), Goulder and Hafstead (2018), and NGFS (2022a) to investigate U.S. banks’ exposures to transition risks. Our results show that while banks’ exposures are...
Persistent link: https://www.econbiz.de/10014355728
Cover Image
Banks' Incentives and the Quality of Internal Risk Models
Plosser, Matthew C. - 2014
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 …
Persistent link: https://www.econbiz.de/10013039623
Cover Image
Banks' Incentives and the Quality of Internal Risk Models
Plosser, Matthew C. - 2014
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 … addition, we find that low-capital banks' risk estimates have less explanatory power than those of high-capital banks with …
Persistent link: https://www.econbiz.de/10013040590
Cover Image
U.S. banks' exposures to climate transition risks
Jung, Hyeyoon; Santos, João A. C.; Seltzer, Lee - 2024 - Revised January 2024
management of transition risk exposures. Banks that signed the Net-Zero Alliance have reduced their exposures compared to non …
Persistent link: https://www.econbiz.de/10014251460
Cover Image
Macroprudential Policy and the Revolving Door of Risk : Lessons from Leveraged Lending Guidance
Kim, Sooji; Plosser, Matthew C.; Santos, João A. C. - 2021
’ leveraged lending activity, but it is less clear whether it accomplished its broader goal of reducing the risk that these loans … macroprudential policy goals, and the challenge that the revolving door of risk poses to the effectiveness of macroprudential …
Persistent link: https://www.econbiz.de/10013244701
Cover Image
Non-bank investors and loan renegotiations
Paligorova, Teodora; Santos, João A. C. - 2016
We document that the structure of syndicates affects loan renegotiations. Lead banks with large retained shares have positive effects on renegotiations. In contrast, more diverse syndicates deter renegotiations, but only for credit lines. The former result can be explained with coordination...
Persistent link: https://www.econbiz.de/10011576363
Cover Image
The cost of bank regulatory capital
Plosser, Matthew C.; Santos, João A. C. - 2018
The Basel I Accord introduced a discontinuity in required capital for undrawn credit commitments. While banks had to set aside capital when they extended commitments with maturities in excess of one year, short-term commitments were not subject to a capital requirement. The Basel II Accord...
Persistent link: https://www.econbiz.de/10011868462
Cover Image
Why do banks target ROE?
Pennacchi, George G.; Santos, João A. C. - 2018
characterized the banking industry during the 1970s and explains why it adopted an ROE target. …
Persistent link: https://www.econbiz.de/10011868481
Cover Image
Rollover risk and the maturity transformation function of banks
Paligorova, Teodora; Santos, João A. C. - 2014
attempt to decrease their exposure to rollover risk. These banks shorten both the maturity of their portfolio of loans as well … shortening of loan maturities by going to the bond market, they may become more exposed to rollover risk due to banks. This … potential synchronization of banks' and borrowers' rollover risk can be a source of financial instability once short …
Persistent link: https://www.econbiz.de/10010254340
Cover Image
The Cost of Bank Regulatory Capital
Plosser, Matthew C. - 2020
The Basel I Accord introduced a discontinuity in required capital for undrawn credit commitments. While banks had to set aside capital when they extended commitments with maturities in excess of one year, short-term commitments were not subject to a capital requirement. We use this difference to...
Persistent link: https://www.econbiz.de/10012839743