The financial crisis exposed enormous failures of risk management by financial institutions and of the authorities … assess where the balance has been struck between the robustness and the risk sensitivity of the capital framework. This paper … fundamental tradeoffs that may exist between robustness, complexity, and risk sensitivity. We review the history of risk …

We show that banks' risk exposure in one asset category affects how they report regulatory risk weights for another … asset category. Specifically, banks report lower credit risk weights for their loan portfolio when they face higher risk … constraints. Our results suggest the existence of incentive spillovers across different risk categories. We relate this behavior …

What is the impact of policy interventions on the systemic risk of banks? To answer this question, we analyze a …-affected European banks between 2005 and 2014. We find a positive and significant association of 'guarantees' with systemic risk, which … different for large banks. 'Liquidity injections' are similarly positively linked with systemic risk, but the long run effect is …

increase its value by matching the riskiness of its securities and the risk tolerance of its diverse creditors. Even a well … can mitigate excessive risk-taking …

the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign … safer core countries, but not in the opposite direction nor for exposures to countries not exempted from risk-weighting. We … consider the trade-off of benefits of sovereign debt (for banks and sovereigns) and spillover risk when applying risk …

risk, leading to a higher level of systemic risk in the financial system. We apply ∆CoVaR, introduced by Adrian and … Brunnermeier (2011), as the measure of systemic risk. Our sample uses 744 listed commercial banks and covers 34 countries. Our work … shows that more legal protection leads to higher level of systemic risk. This result supports the “dark side” of the strong …

wealth transfers between CoCo holders and shareholders, which may change risk-shifting incentives to shareholders. Higher … risk increases the probability of CoCo conversion, while lowering the wealth transfer. We show that for Principal …-Write-Down (PWD) CoCos, the net effect is to always increase risk-shifting incentives, while for equity-converting CoCos, it depends …

reduces the incentive to lend and take risk, while limited liability pushes for excessive lending and risk-taking. We explore …