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 …

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 …

the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap use …

likelihood of bank distress makes banks reduce their on-balance sheet interest rate exposure and simultaneously intensify their … compliance with the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap …

The objective of this paper is to examine the relationship between bank characteristics,in particular value …, performance and volatility of bank stock returns, and its exposure to financial derivative contracts. The study is based on 109 … manually collected information from the notes to financial statements. After controlling for bank-specific characteristics, time …

protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk …

protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk …

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized …

In this study we disentangle two dimensions of banks' systemic risk: the level of bank tail risk and the linkage … between a bank's tail risk and severe shocks in the financial system. We employ a measure of the systemic risk of financial … bank characteristics are related to bank tail risk and systemic linkage. The interrelationship between bank characteristics …

In this paper, we analyze the impact of loan growth and business model on bank risk in 15 EU countries. In contrast to …, decreases with bank size possibly because large banks are more active in volatile trading and off-balance sheet activities such …