interactions with complex capital adequacy regulation, does generate market distortions of its own. Second, while mark …

, we deal with risk under Basel III banking regulation and provide credit valuation adjustment (CVA) modelling, which is a … estimate the impact of an interest rate hike on portfolios of the top 3 Czech banks (éCeská spoéritelna, éCSOB and Komerécní … banka) and top 3 US banks (Bank of America, Citibank and JP Morgan). We conclude that i) the analyzed Czech banks report …

in a dynamic GMM panel estimator framework on an exhaustive data set of Czech banks, which mainly includes small banks … large banks. We show that capital negatively Granger-causes liquidity creation in this industry, where majority of banks are … that Basel III can reduce liquidity creation, but also that greater liquidity creation can reduce banks’ solvency. Thus, we …

. Using a theoretical micro model, we show that a leverage ratio requirement can incentivise banks that are bound by it to … capital and therefore increased lossabsorbing capacity, thereby leading to more stable banks. These theoretical predictions … are tested and confirmed in an empirical analysis on a large sample of EU banks. Our baseline empirical model suggests …

, we deal with risk under Basel III banking regulation and provide credit valuation adjustment (CVA) modelling, which is a … estimate the impact of an interest rate hike on portfolios of the top 3 Czech banks (Česká spořitelna, ČSOB and Komerční banka …) and top 3 US banks (Bank of America, Citibank and JP Morgan). We conclude that i) the analyzed Czech banks report …