diversification index to account for complexity, we find robust evidence consistent with mispricing among the most diversified large …

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyze the risk and diversification in the sovereign bond portfolios of the largest European banks and …

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 …

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyze the risk and diversification in the sovereign bond portfolios of the largest European banks and …

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyze the risk and diversification in the sovereign bond portfolios of the largest European banks and …

This study examines the influence of US banks' revenue diversification on their profitability, equity capital, and … credit risk, by size. By a simple decomposition of Return On Capital (ROC) I show how popular revenue diversification … techniques. I find substantial differences between size groups concerning the impact of revenue diversification measures on …

This paper analyzes the effects of bank manager’s incentive pay on financial stability. Two banks are owned by risk …-neutral principals and run by risk-averse managers that determine the level of leverage and how much to diversify into the other bank …’s asset. Diversification and leverage in turn determine both idiosyncratic and systemic insolvency risk. We first characterize …

This study examines the infuence of US banks' revenue diversification on profitability, equity capital, and credit risk … by size. By a simple decomposition of Return On Capital (ROC) I show how popular revenue diversification measures affect … diversification measures on profitability, equity capital, and credit risk both in comparative statics and dynamically along the …

employed a dynamic Generalised Method of Moments (GMM) model to estimate the impact of diversification on bank stability. Two … three dimensions of diversification, namely; functional, geographic and loan-portfolio diversification, improve bank …We study the concurrent impact of functional, geographic and loan portfolio diversification on the stability of …

This Paper investigates the effects of competition on credit risk, overall bank risk and revenue diversification for … Vietnam). We also examine the effects of financial crisis years for selected sample. We use three proxies of bank stability to … fluctuation in the level of non-performing loan risk, ASEAN banks engaged in more revenue diversification activities to offset the …