the proprietary bank-to-bank European interbank dataset extracted from Target2 and also exploit the Lehman and sovereign …

In this paper we apply a bivariate probit model to investigate the implications of bank lending policy. In the first … equation we model the bank's decision to grant a loan, in the second the probability of default. We confirm that banks provide …

collateral haircuts and the endogenous risk of a liquidity-driven bank run. We then test the model’s predictions using a novel … asset encumbrance increases bank risk, although this relationship is rather heterogeneous …

to engage in income-increasing earnings management significantly depend on bank size and ex-post interest margin …

actual riskiness. We explore the effects of these regulatory privileges on the co-variation between sovereign and bank sector … credit risks–the so-called sovereign-bank nexus. Examining sovereign bond portfolios of large European banks between 2010 and … sovereign-bank nexus and thus serve as a reasonable starting point for the future regulatory treatment of sovereign debt …