This paper studies the use of information for incentives and risk sharing in agency problems. When the principal is … risk neutral or the outcome is contractible, risk sharing is unnecessary or completely taken care of by a contract on the … outcome is noncontractible, however, the principal has to rely on imperfect information for both incentives and risk sharing …

We provide a theoretical foundation for the claim that prolonged periods of easy monetary conditions increase bank risk … taking. The net effect of a monetary policy change on bank monitoring (an inverse measure of risk taking) depends on the … balance of three forces: interest rate pass-through, risk shifting, and leverage. When banks can adjust their capital …

banking sector appears resilient to credit risk stress tests, liquidity stress test results reveal some weaknesses owing to …

-Euro, and the post-September 11th periods; and significant cross-border contagion risk from the United Kingdom, the United …

This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset … quality and credit growth. The analysis is complemented by a simple measure of systemic risk, which captures tail risk … risk scenarios that assess the impact of aggregate and idiosyncratic factors. The analysis is based on CreditRisk+, which …

The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk … asserts. We show that this undermines the traditional result that high capital reduces excess risk-taking driven by limited … liability. Moreover, higher capital may have an unintended effect of enabling banks to take more tail risk without the fear of …