This paper investigates whether the design of the banking supervisory architecture impacts sovereign risk. Exploiting the implementation of the Single Supervisory Mechanism (SSM) in Europe, we find evidence that sovereign risk – measured by sovereign ratings – is lower after the largest...

Capital regulation requires banks to hold a prescribed amount of equity relative to their risk-weighted assets. Beyond these minimum requirements, banks usually hold additional capital. In this paper, we argue that a part of this capital buffer represents banks' response to regulatory risk...

Traditional theory suggests that higher bank profitability (or franchise value) dissuades bank risk-taking. We highlight an opposite effect: higher profitability loosens bank borrowing constraints. This enables profitable banks to take risk on a larger scale, inducing risk-taking. This effect is...

Market risk reporting in banking has assumed such importance during the last decade. The purpose of this paper is to provide a methodology to evaluate the qualitative and quantitative profiles of the market risk disclosure in banking. We propose a hybrid methodology to assess whether or not...

We propose a method to consider business cycles in the computation of capital for operational risk. We examine whether the operational loss data of American banks contain a Hidden Markov Regime switching feature from 2001 to 2010. We assume asymmetric distribution of monthly losses. Statistical...

I compare the performance of three measures of institution-level systemic risk exposure — Exposure CoVaR (Adrian and Brunnermeier, 2016), Systemic Expected Shortfall (Acharya, et al., 2016),and Granger Causality (Billio,etal.,2012). I modify Exposure CoVaR to allow for forecasting, and...

Failures of banks' governance and risk management functions have been identified as key causes of the 2007-2008 financial crisis. This article reviews the empirical literature that investigates the relationship between governance structures and risk management functions as well as their impact...

Operational risk management in banking has assumed such importance during the last decades. It has become increasingly important to measure, manage, and assess the impact of operational risk in the economics of banking. The paper aims to demonstrate how an effective operational risk management...

Efforts to control bank risk address the wrong problem in the wrong way. They presume that the financial crisis was caused by CEOs who failed to supervise risk-taking employees. The responses focus on executive pay, believing that executives will bring non-executives into line — using...

This paper focuses on the defining the role of CRO in corporate governance and to show the interrelation between the way of CRO subordination and performance of investment bank. The sample consists of observations over a period of 2011 for 29 biggest investment banks (by amount of assets)...