Motivated by the variety of bank risk proxies, our analysis reveals that nonperforming assets are a well …-suited complement to the Z-score in studies of bank risk. …

compensation. We argue that excessive risk taking in the financial sector originates from the shareholder moral hazard created by … shareholder risk-shifting incentives. The decisive advantage of this approach compared to existing regulation is that the … regulator does not need to be able to properly measure the bank investment risk, which has been shown to be a difficult task …

In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all … affected if the tail risk of the financial sector increases. We find that key accounting and market valuation metrics such as … risk profile of a financial institution. In contrast to earlier studies, the employed panel vector autoregression (PVAR …

equity capital to the risk-free interest rate. When equity capital falls, bankruptcy risks rise. Firms become more vulnerable … long time. -- liquidity trap ; financial crisis ; rare disasters ; equity capital ; leverage ; bankruptcy risk …

The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to …

The paper investigates the role of CEO's equity and risk incentives in boosting securitization in the financial … industry and in motivating executives to reduce the perceived risk while betting on it. Using a sample of US financial … securitization transactions to a larger extent than CEOs with low incentives. We also show that CEOs with high equity and risk …

We examine the risk-taking behavior of money market funds during the fi nancial crisis of 2007-2010. We find that: (1 …) money market funds experienced an unprecedented expansion in their risk-taking opportunities; (2) funds had strong … incentives to take on risk because fund inflows were highly responsive to fund yields; (3) funds sponsored by financial …