their effects on the bank risk, liquidity and profitability before the crisis event and contributes to the recent scarce … performance. Nevertheless, the effect of residential mortgage loans securitization on bank risk appeared to be negative after the … crisis, indicating that the securitization of this type of credit can reduce the bank risk in the detriment of a lower profit …

findings, based on simulated data that reproduce a bank's mean PD and LGD values. The findings do show that the Pareto …

conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk …

This paper investigates the relationship between the two major sources of bank default risk: liquidity risk and credit … between these two risk sources on the bank institutional-level and how this relationship influences banks' probabilities of … risks separately increase the PD, the influence of their interaction depends on the overall level of bank risk and can …

literature. This paper seeks to study the determinants of bank asset quality and profitability using panel data techniques and … contrary to the general perception. Similarly, with regard to rural bank branches, the results reveal that aversion to rural …

This paper analyzes the impact of US firms’ equity risk on bank lending standards and on the macroeconomy for two … an increase in firm risk on bank lending standards and the economy are amplified in a recession compared to an expansion. …

We investigate the impact of the 2014 Interagency Clarification on the leverage risk premium for bank- and nonbank … facilities relative to bank facilities since the introduction of the 2014 Interagency Clarification. The decline in leveraged …

credit portfolio will increase if a bank participates in pro rata credit risk pooling with homogeneous credit risks. But …