and default) and spread risk (represented by rating specific spread indices) combine to a total value-at-risk (VaR) 50 …

almost 4,000 bonds, we test whether credit rating based- regulation can create the bank moral hazard predicted by our model … ratings only partially reflect systematic risk. If a bank chooses bonds within a given credit rating that have above median … bank's physical expected default losses, a bank can increase its shareholder value by making loans and investing in bonds …

In this paper we relate a bank’s choice between retail and wholesale liabilities to real economic uncertainty and the … resulting volatility of bank loan volumes. We argue that since the volume of retail deposits is slow and costly to adjust to … shocks in the volume of bank assets, banks facing more intense uncertainty and more volatile loan demand tend to employ more …

Network (IBRN), established in 2012, brings together researchers from around the world with access to micro-data on individual … affects bank lending depends on the whether the banks are drawing on official sector liquidity facilities. Third, liquidity … heterogeneity in the balance sheet characteristics that affect banks’ responses to liquidity risk. Overall, bank balance sheet …