to force banks to develop adequate internal risk management procedures while taking a largely agnostic approach as to … downplay risk, while large financial institutions gain a significant advantage and the distribution of responsibility between …-grained guidance on how banks should evaluate climate risk. Although we broadly think this approach is the more effective route to …

management of transition risk exposures. Banks that signed the Net-Zero Alliance have reduced their exposures compared to non …

Motivated by the variety of bank risk proxies, our analysis reveals that nonperforming assets are a well …-suited complement to the Z-score in studies of bank risk. …

and public bailouts.The evidence of a substantial underestimation of the risk related to a general credit spread widening … leads to investigate the reason why risk management systems, in the early stage of the financial crisis, were not able to … financial instruments, a treatment of expected losses that is aligned with the most common methodologies for credit risk …

) risk estimates with portfolio risk. We use loan performance as a direct measure of portfolio risk as well as less direct … market-based measures. Our results document that loan performance is highly correlated with AIRB risk weights and that, in … contrast, Basel I risk weights are not reflective of loan performance. We find that capital requirements under the AIRB …

We present a model where bank assets are a portfolio of risky debt claims and analyze stockholders' risk … increases, risk shifting by borrowers increases, even if their leverage is unchanged (zombie lending). (2) While the literature … increase prevails through a second channel: an increase in risk shifting. (3) Risk shifting decreases with the diversification …

We empirically assess the sensitivity of Basel risk weights to bank portfolio risk and the business cycle. With our … econometric model, we distinguish between cross-sectional risk sensitivity and longitudinal risk sensitivity (cyclicality) of the … regulatory standard. Employing a comprehensive data set covering 200 large banks from 28 countries, we find that actual risk …

increase its value by matching the riskiness of its securities and the risk tolerance of its diverse creditors. Even a well … can mitigate excessive risk-taking …

The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent … generated. The second Monte Carlo simulation is the random draws based on the constant level of risk assumption. It convolutes …

In order to address the risk of systemic crises it is of paramount importance to have advance information about banks … actual observation of tail risk events. Interestingly, we find that estimated tail risk exposures for U.S. Bank Holding … actually more crisis prone. We also study the determinants of banks' tail risk exposures and find that their key drivers are …