BankCaR is a credit risk model that forecasts the distribution of a commercial bank's charge-offs. The distribution …. Applied to the US banking system, BankCaR finds that credit risk is rising and is concentrated most significantly in … risk and capital. BankCaR uses publicly available regulatory reporting data, the most common credit portfolio model, and …

This paper examines the impact of mergers on default risk, finding that, on average, a merger increases the default … risk of the acquiring firm. This is surprising for two reasons: risk reduction is among the reasons commonly cited for … mergers, and asset diversification should reduce default risk unless the newly-merged firm takes some action to increase risk …

We study empirically the effect of focus (specialization) vs. diversification on the return and the risk of banks using … deterioration in bank monitoring quality at high levels of risk and a deterioration in bank monitoring quality upon lending … high risk banks, sectoral loan diversification produces an inefficient risk–return tradeoff only for high risk banks, and …