Bank capital requirements are based on a mix of market values and book values. We investigate the effects of a policy … banking organizations. Our analysis is based on security-level data on individual bank portfolios matched to bond …

Since the European debt crisis economists and politicians discuss intensively the sovereign-bank nexus. The high … exposure on bank stability. This paper provides a new way to use European stress test data to study this relationship. In … addition, we explore the effect on a bank’s probability of default if the existing capital requirement privilege for EU …

We study how optimal bank capital and bond risk are influenced by deposit insurance, implicit guarantees, depositor … preference, asset encumbrance, and bail-in resolution frameworks. We find that these features of bank financing change the … optimal amount of bank capital. The net effect on bond debt risk and valuation is small, while the effects on shareholder …

of bank failure is sufficiently large, the surplus as well. Our results in overall highlight the need to take into …

We analyze the relationship between bank size and risk-taking under the New Basel Capital Accord. Using a model with …

many of these loans are held by more than one bank. We study differences in banks' estimates of risk parameters used to … parameters affect bank credit supply …

The U.S. bank stress tests aim to improve financial system stability. However, they may also affect bank credit supply …

Recent literature suggests that regulatory risk measures do not adequately capture the actual economic risk of bank … risk sensitivity, i.e., the response of Basel risk weights to asset volatility as our measure of a bank's asset portfolio …

provisions estimate of banks. While bank credit risk teams are sometimes mesmerised by the short-term benefits of provisions … games, they do not care if their behaviour destroys bank value and the informativeness of loan loss provisioning estimates …. While it is not difficult for bank managers and analysts to understand that the provisioning process is subject to gaming …