than in the bust. Moreover, despite some adjustment in lending conditions in the good times depending on borrower risk, the … results suggest too soft lending standards and excessive risk-taking in the boom. For example, mortgage spreads for non …

banks' risk-weighted assets were massively gamed by large banks, which engaged in various forms of regulatory arbitrage to …

In this paper, we investigate how the introduction of complex, model-based capital regulation affected credit risk of … charges more sensitive to risk. Exploiting the staggered introduction of the model-based approach in Germany and the richness … of our loan-level data set, we show that (1) internal risk estimates employed for regulatory purposes systematically …

innovation was to make capital charges more sensitive to risk. Using data from the German credit register, and employing a … approach. Interestingly, however, we find that risk models used for regulatory purposes tend to underpredict actual default …

shock to the level of banks' solvency risk is followed by lower short-term debt. Conversely, higher short-term debt Granger …-causes higher solvency risk. These results point toward a tight interaction between solvency and liquidity risk over time. My …

In this paper, we investigate how the introduction of complex, model-based capital regulation affected credit risk of … charges more sensitive to risk. Exploiting the staggered introduction of the model-based approach in Germany and the richness … of our loan-level data set, we show that (1) internal risk estimates employed for regulatory purposes systematically …

How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a …. Encumbering assets allows a bank to raise cheap secured debt and expand profitable investment, but it also concentrates risk on … guarantees induce excessive encumbrance and fragility. To mitigate such risk shifting, we study prudential regulatory tools …