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Understanding and managing interest rate risk at banks
Acharya, Viral V. - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 218-231
Persistent link: https://www.econbiz.de/10011974365
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Climate stress testing
Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; … - In: Annual review of financial economics 15 (2023), pp. 291-326
Persistent link: https://www.econbiz.de/10014426292
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Testing Macroprudential Stress Tests : The Risk of Regulatory Risk Weights
Acharya, Viral V. - 2015
shortfalls are measured relative to risk-weighted assets, the ranking of financial institutions is very different from the V …-Lab stress test, whereas when measured relative to total assets, the results are quite similar. We show that the risk measures … used in risk-weighted assets are cross-sectionally uncorrelated with market measures of risk as they do not account for the …
Persistent link: https://www.econbiz.de/10013035758
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Lending implications of U.S. bank stress tests : costs or benefits?
Acharya, Viral V.; Berger, Allen N.; Roman, Raluca A. - In: Journal of financial intermediation 34 (2018), pp. 58-90
Persistent link: https://www.econbiz.de/10012114243
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In the shadow of banks : wealth management products and issuing banks' risks in China
Acharya, Viral V.; Qian, Jun; Su, Yang; Zhishu Yang - 2020
Persistent link: https://www.econbiz.de/10012239024
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Testing macroprudential stress tests : the risk of regulatory risk weights
Acharya, Viral V.; Engle, Robert F.; Pierret, Diane - In: Journal of monetary economics 65 (2014), pp. 36-53
Persistent link: https://www.econbiz.de/10010485270
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In the Shadow of Banks : Wealth Management Products and Issuing Banks’ Risk in China
Acharya, Viral V. - 2020
We study the rise and risks in bank issuance of Wealth Management Products (WMPs), which are off-balance-sheet substitutes for deposits without the regulatory interest rate ceilings and constitute the largest shadow banking segment in China. We show that competition for deposits has a causal...
Persistent link: https://www.econbiz.de/10012848972
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Climate Stress Testing
Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; … - 2023
change and the economy; and (iii) further explore "compound risk" scenarios in which climate risks co-occur with other risks … risk pricing in financial markets; and (iv) better understand and incorporate the process of expectations formation around …
Persistent link: https://www.econbiz.de/10014249918
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Climate Stress Testing
Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; … - National Bureau of Economic Research - 2023
change and the economy; and (iii) further explore "compound risk" scenarios in which climate risks co-occur with other risks … risk pricing in financial markets; and (iv) better understand and incorporate the process of expectations formation around …
Persistent link: https://www.econbiz.de/10014250115
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Climate stress testing
Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; … - 2023 - Revised June 2023
change and the economy; and (iii) further explore "compound risk" scenarios in which climate risks co-occur with other risks … risk pricing in financial markets; and (iv) better understand how market participants form climate risk expectations and …
Persistent link: https://www.econbiz.de/10014251467