equity (market capitalization) a credit-spread-based correction for the value of shareholders' default option. We show that …-implied capital measure for policy makers. We propose an econometric model for the combined simulation of equity and CDS prices, which …

Financial regulation has led banks to increase their equity ratios. Yet, several studies find that this has not led to … a decrease in bank equity risk. We show theoretically, that keeping less capital in excess of the minimum capital … requirement can outweigh the risk-reducing effect on equity of increased total capitalization. Empirically, we find that excess …

about as quickly as equity prices, and significantly more quickly than credit ratings. Although CDS spreads did not identify …

distorts the operation of credit markets. We show that a binding CVaR constraint introduces credit rationing and lowers social …

distorts the operation of credit markets. We show that a binding CVaR constraint introduces credit rationing and lowers social …