risk aversion. Our findings suggest that ATRs can effectively fight tax uncertainty and stimulate investment. However …

needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital … with the counterparty credit risk including the wrong-way risk is derived and analyzed in the paper. The formula is based …

disclosure choices. CDSs enable lenders to hedge their credit risk exposure, weakening their incentives to monitor borrowers. We … disclosure when (i) lenders have higher ability and propensity to hedge credit risk using CDSs, and (ii) lender monitoring …

of banks' sovereign risk exposures. We test the idea that a mandatory one-time disclosure induces an increase in … voluntary disclosures about sovereign risk in the following periods and, through the shift in the voluntary disclosure … disclosure events helps explain the levels of stress test banks' voluntary disclosures about sovereign risk. Second, although the …

This research paper studies the quality of own credit (OC) risk disclosures in European banks by analyzing their annual …) richness of the information provided, it is found out that disclosure in annual reports about own credit risk tends to be low … variables were selected on a holistic basis and relate to a bank's earnings situation (profit and loss statement view), risk …