Coimbra, Nuno; Kim, Daisoon; Rey, Hélène - National Bureau of Economic Research - 2021
Before the 2008 crisis, the cross-sectional skewness of banks' leverage went up and macro risk concentrated in the balance sheets of large banks. Using a model of profit-maximizing banks with heterogeneous Value-at-Risk constraints, we extract the distribution of banks' risk-taking parameters...