higher regulatory requirements for bank capital moderates positively this relationship. - The Impact of the Sophistication of … efficiency of risk-sensitive capital measurement approaches and their impact on bank profitability and market valuation. Based on … sophistication of risk measurement approaches that banks apply. Capital ratios are effective in predicting bank market valuation when …

We investigate the shape of risk appetite when the bank is financed also with contingent convertible bonds (CoCos). Our … model, the bank objective function is given by the sum of the default put option and the down-and-out call (DOC) option …, pricing the net present value of growth opportunities. The manager maximizes the market value of the bank, adjusting jointly …