a Chinese bank. Securitized loans exhibit lower ex-post default rates and prepayment chances compared to the loans … retained on the bank's balance sheet, suggesting no adverse selection or moral hazard within the Chinese securitization market … loan performance after the new regulation, in line with deterioration of the bank's incentive. This unintended consequence …

impact on banks' asset risk differs across bank business models …

measure of risk to profitability in a bank's loan portfolio based on traditional portfolio theory. This measure is used to … examine the risk levels in the loan portfolios of merging bank holding companies (BHCs) and the change in risk that occurs in …

We study how optimal bank capital and bond risk are influenced by deposit insurance, implicit guarantees, depositor … preference, asset encumbrance, and bail-in resolution frameworks. We find that these features of bank financing change the … optimal amount of bank capital. The net effect on bond debt risk and valuation is small, while the effects on shareholder …

Bank regulators interfere with the efficient allocation of resources for the sake of financial stability. Based on this …

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 …

. Increasing stress test precision increases banks' asset riskiness but also improves allocative efficiency. When risk taking is … of bank failure is sufficiently large, the surplus as well. Our results in overall highlight the need to take into …

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk …

This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The … structural models to account for information spillovers based on bank business model similarities. To capture this channel, we … the Eurozone. Incorporating the network information into the structural model for bank credit spreads increases …