agreements (repos) was recognized by external capital markets to increase bank risk in the pre-crisis period. In the crisis, we … find a negative relationship between repos and risk. We attribute this result to evidence suggesting that “good” banks were …

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. …

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … interpret the 2007 run on SIV and ABCP conduits. -- stress ; crises ; illiquidity risk ; insolvency risk ; leverage ratio …

as the benchmark of comparison in mandatory stress test exercises. For risk management functions, a bank's own stress …

We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to … pessimistic about other asset classes as well. This means that idiosyncratic risk can create contagion and snowball into systemic … risk. Furthermore, in a Diamond and Dybvig (1983) setting, we show that, surprisingly, uncertainty aversion causes …

all the relevant risk and economic factors. We attribute this difference to the servicers’ learning process — such as …