risk. In this model, banks face taxation, flotation costs of securities, and default costs and maximize shareholder value …

institutions’ systematic risk. We then develop an index of the estimated equity value loss as the long-rum marginal expected … shortfall (LRMES). LRMES contributes to compute systemic risk (SRISK) contribution of these firms, which is the capital that a … firm is expected to need if we have another financial crisis.FindingsLarge acquiring banks decrease systemic risk …

Developments in risk-transfer instruments and risk management techniques in the last two decades have fundamentally …

Motivated by the variety of bank risk proxies, our analysis reveals that nonperforming assets are a well …-suited complement to the Z-score in studies of bank risk. …

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given … network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover … effects and market as well as balance sheet information, we define the realized systemic risk beta as the total time …

important banks (SIBs). Its purpose is to examine consequences that follow for risk choices of SIBs, as well as for Germany … to offset risk reductions achieved on the micro level. …

This paper deals with the relation between excessive risk taking and capital structure in banks. Examining a quarterly … leverage is high, and that more risk taking has a negative impact on valuation of the debt of highly leveraged banks. We find … no evidence that deposit insurance is encouraging risk taking behaviour. We do find that banks with a more troubled loan …

Syndicated loans provide an exceptional opportunity to study differences in banks' approaches to measuring risk because … many of these loans are held by more than one bank. We study differences in banks' estimates of risk parameters used to …. In addition, we find a negative relation between banks' LGDs and their loan shares, suggesting that differences in risk …

previously less prudent in their risk-taking and loan loss reserving, indicating that less prudent banks are more adversely …