estimated while controlling for the macroeconomic environment. An increase in bank' balance sheet risk is shown to increase the …

Recent literature suggests that regulatory risk measures do not adequately capture the actual economic risk of bank … risk sensitivity, i.e., the response of Basel risk weights to asset volatility as our measure of a bank's asset portfolio …

expectations for NPLs are found to be effective in reducing banks' NPLs. The phase-in of the policies can temporarily reduce bank … profitability owing to increased loan loss provisioning targets. However, over a longer time horizon, lower NPL ratios reduce …

government capital injections by providing an option-based illustration of how the capped ratio schedule can influence bank … interest margins and failure probability. We show that a declining capped ratio increases a bank’s volume of lending at a … reduced margin and further increases its default risk. The capped ratio schedule as such makes the bank less prudent and more …

We study the impact of higher bank capital buffers, namely of the Other Systemically Important Institu- tions (O …

, is an optimum model of bank behaviour, in which a bank statically rearranges its observed balance sheet by maximizing its …

empirical literature, i.e. the pro-cyclicality of bank profitability and the counter-cyclical response of firm default rates and … conditions, credit default and bank capitalization for the transmission of macroeconomic shocks. We fit the model to euro area …

)coordinated banks and their borrowers, bank strategic (re)actions when they draw their loan contracts and the impact of macroeconomic …