higher valuation of discretionary loan loss provisions when the board was independent and a lower valuation of discretionary … loan loss provisions when the governance committee and the compensation committee were fully independent. In contrast, post … directors. These findings are consistent with economic regulation theory. We contribute to prior literature on corporate …

behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS …) for hedging purposes. Regulation is found to induce the risk-neutral bank to behave in a more risk-sensitive way: Compared …. Under the Substitution Approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its total …

models in terms of correlation with actual bank losses and CDS spreads. The paper also shows how extreme measures can be used …

Internal Ratings-Based approach affects the bank loan pricing mechanism, by developing a multiperiod risk-adjusted pricing … methodology, which allows us to separate the contribution of the two components of credit losses (the expected loss and the … unexpected loss), under the prevalent repayment schemes. Following Hasan and Zazzara (2006), risk-adjusted pricing can be split …

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 …

default risk and performance in bank holding companies (BHCs) during the recent credit crisis. Using a sample of 371 BHCs, we … bank in BHCs that paid their CEOs relatively higher inside debt …

channel of the risk contagion theory by showing that a bank's credit risk Beta (a bank's sensitivity to sovereign risk …Using information in US and European bank and sovereign CDS spreads we study the systematic component of banks' credit … sovereign default risk is a significant factor of bank default risk. During the period 2008-2014, on average US banks are much …

We present a model where bank assets are a portfolio of risky debt claims and analyze stockholders' risk …-taking behavior while considering the strategic interaction between debtors and creditors. We find that: (1) as the leverage of a bank … demonstrates that an increase in comovement of a loan portfolio increases the bank's cost of default directly, we find that the …