This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. Since this … period covers various stages of the banking and sovereign crisis, it offers a fertile ground to analyze bank/sovereign risk … vulnerable to risk spillovers. At the country level, the debt ratio is the most important driver of contagion. …

different in the GFC from previous years: second to see whether simple measures of capital adequacy outperform their risk … quarterly data set of FDIC-insured US banks from 1992 to 2012. We contrast the effects of risk-weighted and non-risk … CAMELS indicators that consider the bank-specific variables and macroeconomic conditions. We find that the non-risk …

In summer 2011, elevated sovereign risk in Eurozone peripheral countries increased the solvency risk of Eurozone banks … funding pressure for banks, but did not help to contain sovereign risk. In fact, banks of the peripheral countries used the … public funds to increase their exposure to risky domestic debt, so that when solvency risk in the Eurozone worsened the run …

the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign … safer core countries, but not in the opposite direction nor for exposures to countries not exempted from risk-weighting. We … consider the trade-off of benefits of sovereign debt (for banks and sovereigns) and spillover risk when applying risk …

The Basel capital framework plays an important role in risk management by linking a bank's minimum capital requirements … to the riskiness of its assets. Nevertheless, the risk estimates underlying these calculations may be imperfect, and it … appears that a cyclical bias in measures of risk-adjusted capital contributed to procyclical increases in global leverage …

Accurate measurement of bank risk is a matter of considerable importance for bank regulation and supervision. Current … practices in most countries emphasize reliance on financial statement data for assessing banks’ risk. However, the possibility … of increased reliance on market-based risk indicators has been a topic for academic and regulatory debate for a long time …

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through … securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management …. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of …