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 …

-data of loans to SME and corporations of an anonymous commercial bank from Central Europe. LGD estimates are important inputs … in the pricing of credit risk and the measurement of bank profitability and solvency. Basel II Advance IRB Approach …

This paper discusses the relationship between bank size and risk-taking under Pillar I of the New Basel Capital Accord …

We show that multi-bank loan pools improve the risk-return profile of banks' loan business. Banks write simple …

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 study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit … managerial and market factors. Furthermore, the bank's equity and asset/liability management has to be addressed simultaneously … by bank managers. …

to non-banks do not transform sight deposits into illiquid assets as intensively as savings banks with high shares of non-bank … how bank size and the individual bank's position in the interbank market affect liquid assets. …

experiment to examine the effect of government guarantees on bank risk taking, using a large data set of matched bank …