paper shows that using rollover risk as a disciplining device is effective only if all banks face purely idiosyncratic risk … aggregate states, but with opposite effects. -- rollover risk ; market discipline ; bank runs ; fire sales ; global games …

risk; if such regulation also reduces systemic risk, the benefits are even larger. September 27, 2018, revised January 23 …

borrowing that comes under laissez-faire. Effective regulation is beneficial even without considering systemic risk; if such … regulation also reduces systemic risk, the benefits are even larger. …

We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory … requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous … outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the …

We develop a model in which asset commonality and short-term debt of banks interact to generate excessive systemic risk …. Banks swap assets to diversify their individual risk. Two asset structures arise. In a clustered structure, groups of banks …

The interaction of capital and risk for trading and treasury units is of primary interest in the corporate governance … of banks as it links operational profitability and strategic risk management. During the financial crisis, several banks …' trading units suffered significantly higher losses than their risk capital charged based on value-at-risk constraints. There …

This paper analyzes the impact of US firms’ equity risk on bank lending standards and on the macroeconomy for two … groups: small and medium-large firms. The results indicate that a higher level of firm risk leads to a higher percentage of …-large firms. The finding provides support for the Risk Management Hypothesis, under which banks decrease lending to risky …

some savers have no risk-sharing motives, there exists a non-negligible set of economies (endowments) and equilibria at …

framework while still obtaining Pareto optimality. In the framework developed, the aggregate risk components of individual risks … are exchanged through a highly reduced set of nonspecific securities, while the idiosyncratic risk components are insured …