We study how contingent capital affects banks' risk choices. When triggered in highly levered states, going …-concern conversion reduces risk-taking incentives, unlike conversion at default by traditional bail-inable debt. Interestingly …, contingent capital (CoCo) may be less risky than bail-inable debt as its lower priority is compensated by a lower induced risk …

Keeping in view that the roles of portfolio risk and the relationship between different risky lending assets in loan … valuation have not been studied empirically, this study examines the relationship between undiversiable portfolio risk and … portfolio lending with an attempt to fill the gap between the concept of portfolio risk diversification and the practice of …

the distribution of risk via credit supply. For identification, we exploit exhaustive US loan-level data since the 1990s …, borrowerlender relationships and Gertler-Karadi monetary policy shocks. Higher policy rates shift credit supply from banks to …, higher policy rates increase risk-taking, as less-regulated, fragile nonbanks -in all credit markets- expand supply to …

risk. In this model, banks face taxation, flotation costs of securities, and default costs and maximize shareholder value …We develop a dynamic model of banking to assess the effects of liquidity and leverage requirements on banks' insolvency …

(measured as a bank's liabilities divided by national GDP) are linked to banks displaying higher tail risk. This effect is not … entirely due to risk channels that disproportionately expose relatively large banks to systematic tail risks, sovereign risks …, or banking crises. Instead, we detect a persistent component in the tail risk of relatively large banks that is bank …

We apply text analysis to Twitter messages in Spanish to build a sentiment- based risk index for the financial sector … captures the impact of sources of financial stress not explicitly encompassed in quantitative risk measures. Finally, we show … that a shock in our Twitter sentiment index correlates positively with an increase in financial market risk, stock market …

We apply sentiment analysis to Twitter messages in Spanish to build a sentiment risk index for the financial sector in … that this novel index captures the impact of sources of financial stress not explicitly encompassed in quantitative risk … Twitter sentiment index correlates positively with an increase in financial market risk, stock market volatility, sovereign …

lead to significant changes in the competitive environment should banks consider adding a granularity adjustment to the …

This paper studies the extent to which monetary policy may affect banks' perception of credit risk and the way banks … indicators on banks' risk weights for credit risk. We present robust evidence of the existence of the risk-taking channel in the … possible side-effects of monetary policy on how banks measure risk. …

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 …