This research explores the effects of securitization on the market's perception of banks' risk exposure between 2002 and 2007. Our results show that, contrary to some prior evidence in the literature, securitizing banks actually had lower systematic betas until 2007. We find no evidence of...

We propose a model that links the conditional probability of bank failure to insolvency and liquidity risks, and show that liquidity risk affects bank failures through systematic and idiosyncratic channels. Empirical results based on U.S. bank data between 1985 and 2011 show that this model...

We calculate the approximate measures of the liquidity coverage ratio and the net stable funding ratio of the Basel III liquidity risk framework using the call report data of U.S. banks. We find that the new measures have little predicting power of bank failures when compared with traditional...

We present a comprehensive analysis to calculate the Basel III liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR) of U.S. commercial banks using Call Report data over the period 2001–2011, and provide indirect empirical evidence on net cash outflow rates of certain...

We examine the roles of idiosyncratic and systemic funding liquidity risks in bank failures. We estimate a discrete-time hazard model of bank failure using data of U.S. commercial banks between 1985 and 2004, and examine its out-of-sample forecasting performance between 2005 and 2011. The...

Macroeconomic factors can affect both the output and input of a credit risk model, as well as the measurement errors in the observed input variables. Failure to account for all these effects leads to biased and unstable estimates. We propose a two-stage filtered-input approach to obtain unbiased...

We present a comprehensive analysis to calculate the Basel III liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR) of U.S. commercial banks using Call Report data over the period 2001–2011, and provide indirect empirical evidence on net cash outflow rates of certain...