Haar, Lawrence; Gregoriou, Andros - In: Risks : open access journal 11 (2023) 6, pp. 1-23
maximisation under a regulatory constraint, we statistically examine how market risk exposure has interacted with financial …, has prompted changes in banking behaviour as measured by exposure to market risk. Breaking new ground, we empirically … aligning the cost of capital with their exposure to market risk, measured by Value at Risk; or if regulations have induced …