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 …

model combinations the value and interest rate risk of 13 non-maturing product categories for up to 400 German banks on an … valuation of non-maturing banking products. For ranking banks according to the interest rate risk of their products the pass …Non-maturing banking products are important asset and liability positions of banks. Their complexity inter alia arises …

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 …

-siders the standard risk management measure Value-at-Risk (“VaR”). We apply the theory of local martingales, present a styled … that asset price bubbles result in materially inflated VaR measures. The implication of this finding for portfolio and risk … these asset types. We also measure the model risk arising from mispecifying the process driving cryptocurrencies by ignoring …

We introduce a simple model for the credit exposure to leveraged and collateralized counter-parties. Wrong-way risk is … and straightforward to implement and thus provides a useful tool for assessing the credit risk inherent in leveraged …

lending. We find that the guidance primarily impacted large, closely supervised banks, but only after supervisors issued … more lax lending policies than banks, we unveil important evidence that nonbanks increased bank borrowing following the … issuance of guidance, possibly to finance their growing leveraged lending. The guidance was effective at reducing banks …

the effect of entry threat on incumbent banks' loan loss provisions. Incumbents exposed to entry threat have offsetting …

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 …

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. …

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 …