This paper proposes and evaluates several market-based measures for US and eurozone individual bank tail risk and banking system risk. We apply statistical extreme value analysis to the tails of bank equity prices to estimate the likelihood of individual institutions financial distress as well...

Each week the ranks swell of those who believe that the U.S. economy is on the road to recovery. However, even amid the growing optimism, it is generally agreed that the greatest obstacle to robust recovery is the still-crippled housing market. The public dialogue about "solutions" has focused...

Little is known about fraud in the financial services sector. Using a rich supervisory dataset, this study dissects fraud at large U.S. banking organizations. We examine the different categories of fraud and their materiality, the recovery from fraud, the time from fraud occurrence to fraud...

Using supervisory data from large U.S. bank holding companies (BHCs), we document a significant association between BHCs' operational losses and the U.S. macroeconomic environment. In adverse conditions, BHCs face higher and more volatile operational losses. The frequency of loss events...

Using supervisory data on operational losses from large U.S. bank holding companies (BHCs), we show that BHCs with socially responsible workforce policies suffer lower operational losses per dollar of total assets and incidence of tail risk events. The association is more pronounced for...

Using supervisory data from large U.S. bank holding companies (BHCs), we document that operational loss recovery rates decrease in macroeconomic downturns. This procyclical relationship varies by business lines and loss event types and is robust to alternative data aggregations, macroeconomic...

Using supervisory data from large U.S. bank holding companies (BHCs), we document that operational loss recovery rates decrease in macroeconomic downturns. This procyclical relationship varies by business lines and loss event types and is robust to alternative data aggregations, macroeconomic...

The traditional model of bank-led financial intermediation, where banks issue demandable deposits to savers and make informationally sensitive loans to borrowers, has seen a dramatic decline since 1970s. Instead, private credit is increasingly intermediated through arms-length transactions, such...

In recent years, assets of non-bank financial intermediaries (NBFIs) have grown significantly relative to those of banks. These two sectors are commonly viewed either as operating in parallel, performing different activities, or as substitutes, performing substantially similar activities, with...

We analyze the effect of a major central bank digital currency (CBDC) - the digital euro - on the payment industry to find remarkably heterogeneous effects. Stock prices of U.S. payment firms decrease, while stock prices of European payment firms increase in response to positive announcements on...