This paper explores the ability of financial analysts to gauge the risk taken by banks and investigates the impact of the recent financial crisis. Using a sample of 36,343 analyst forecasts issued for 411 European banks over 2003-2009 we find that analyst forecasts are influenced by risk, the...

The 2008 global financial crisis highlights the importance of securitization and crash risk. Yet there is a dearth of papers exploring the link between securitization and crash risk. We analyze 7,096 securitization deals made by large European listed banks between 2000 and 2017. Our paper...

We test five hypotheses on whether banks use CDS to hedge corporate loans, provide credit enhancements, obtain regulatory capital relief, and exploit banking relationship and private information. Using new data that link large banks' CDS positions and syndicated lending on individual firms, we...

This study investigates the link between capital market discipline and bank-level credit risk with a special emphasis on the role of bank ownership structure. Focusing on a large emerging market, Türkiye, characterized by a prominent state bank presence, our baseline regression results indicate...

We examine contagion from a number of financial systems to the German financial system using the information content of CDS prices in a GARCH model. After controlling for common factors which may cause comovement in security prices, we find evidence for contagion from the US and European...

We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the marginal expected shortfall (MES), the systemic impact index (SII) and the vulnerability index (VI) for 16 listed banks in China. Although these measures show different patterns, our...

This paper assesses the reputational impact of announced operational losses for a sample of 163 listed financial companies from 1994 to 2008.Measurement of reputational losses is carried out using the event study methodology.The results show that fraud is the event type that generates the...

We adopt a systemic risk indicator measured by the price of insurance against systemic financial distress and assess individual banks' marginal contributions to the systemic risk. The methodology is applied using publicly available data to the 19 bank holding companies covered by the U.S....

This paper examines the determinants of shareholder value creation for a large sample of European banks. By using a panel data model, we find that bank profits and shareholder value are positively influenced by cost and profit efficiency, operational risk exposure, unexpected credit losses and...

Changes in value of a plain vanilla bond are largely due to the fluctuations of default-free yields (hereinafter referred to as risk-free rates) and to the dynamics of the credit spread required for protection against the borrower's insolvency.In most common financial asset evaluation...