We present a stochastic simulation forecasting model for stress testing aimed at assessing banks' capital adequacy …

This paper investigates whether monitoring by bank lenders affects CEO incentives of borrowing firms. We find that an … increase in bank monitoring incentives significantly reduce the sensitivity of CEO wealth to stock return volatility (Vega …). The results are more profound when bank lenders are more powerful and reputable and have a prior lending relationship with …

arbitrage. I develop a framework to study bank regulation with strategic selection of risk models. A bank supervisor can …

We propose a rigorous and flexible methodological framework to select and calibrate initial shocks to be used in bank … financial variables typically used in bank stress testing …

We present a stochastic simulation forecasting model to stress-test banks' capital adequacy and to estimate probability … drivers that are truly relevant for assessing the bank's capital adequacy, allowing for outputs that can be expressed and …

internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the … presence of supervision by bank regulators. The model uses a principal-agent setting between a bank's owner and its risk … standard approach subsequent to becoming regulated, i.e., the presence of regulation may induce a bank to decrease the quality …