The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …

Little is known about the location of bank risk, i.e., which investors in which countries hold bank-issued securities … like bonds and stocks. In this paper, we analyze the (re-)distribution of bank risk across asset classes (short- and long … contains information on securities holdings at the ISIN level. Our main findings are as follows. First, bank risk is held …

risk (VaR) into the firm-theoretical model of a banking firm facing the risk of asset return. Given the necessity to …

from a non-trivial pass-through from market to product rates which makes the valuation and risk analysis challenging for … valuation and interest rate risk measurement of these products in the risk-neutral valuation framework of Jarrow and van … model combinations the value and interest rate risk of 13 non-maturing product categories for up to 400 German banks on an …

institutions bearing risks.We review the implications for regulatory capital requirement resulting from the risk model and risk … a result of the risk measure implementation framework and adopted risk aggregation methods in the SSA. In particular, we … show that risk aggregation turns out to be inconsistent with a coherent-type of risk measure, which would be a necessary …

Interest rate risk is the exposure of a bank's financial condition to adverse movements in interest rates. Changes in … for assessing a bank's interest rate risk exposure: earnings perspective and economic value perspective. Changes in banks …' competitive environment, products, and services have heightened the importance of prudent interest rate risk management. The paper …

We present a model where bank assets are a portfolio of risky debt claims and analyze stockholders' risk … increases, risk shifting by borrowers increases, even if their leverage is unchanged (zombie lending). (2) While the literature … increase prevails through a second channel: an increase in risk shifting. (3) Risk shifting decreases with the diversification …

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 …

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 …