Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the … bilateral credit relationships for the German banking system and test whether the breakdown of a single bank can lead to … reduces - but does not eliminate - the danger of contagion. Even so, the failure of a single bank could lead to the breakdown …

We study the impact of disclosure about bank fundamentals on depositors' behavior in the presence (and absence) of … disclosure is conducive to bank stability. We find that bank deposits are sensitive to perceived bank performance. While banks … institution conveys meaningful information for others. Our findings highlight both the costs and benefits of bank transparency and …

the public, long-term systemic risk among banks tends to increase. From the dynamic perspective, bank penalties represent … long-term. In this respect, bank penalties resemble still waters that run deep. In contrast, a settlement with regulatory …

lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank’s credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …

develops a methodology to detect problems at the individual bank level in an effort to identify those firms with financial … facilitate bank monitoring tasks, as well as some disaggregated subcomponents that are intended to display the relative …

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. …

cumulative abnormal returns (|CAR|) of stress-tested bank holding companies averages almost 3 percent. Cumulative abnormal …

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

regulatory liquidity requirements on bank behavior. A multi-stage decision situation allows for considering the interaction … between credit risk and liquidity risk of banks. This interaction is found to make a risk neutral bank behave as if it were …