at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure …

the design of the loss absorption mechanism affects the stability of bank funding and distinguish between Conversion …. As we show, the first two loss absorption mechanisms unambiguously improve a bank's stability of funding position. By … contrast, the latter type of loss absorption mechanism can increase solvency risk and, moreover, is identified as a source of …

The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost … assessing the capital adequacy. This paper investigates whether decisions on total risk-based capital ratios are channeled … quantitative models in a new perspective. This knowledge may prove valuable for regulators who aim to understand bank behaviour and …

For the sixth time, international academics and practitioners met for a successful credit risk conference. Keynote … speeches and academic sessions highlighted current developments and necessary improvements in areas such as fintech, regulation …, credit ratings and risk analysis. Digitization also leaves its mark in this area and requires, to varying degrees, a …

at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure …

The development of the Basel III leverage ratio does not consider the different risk characteristics of bank business … models. All banks have to achieve the same requirements even if a high-risk business model is chosen. For that reason …, leverage ratios which are adjusted to the risk-profile of retail, wholesale, and trading banks are developed. Based on Value-at-Risk …

heterogeneity in the balance sheet characteristics that affect banks' responses to liquidity risk. Overall, bank balance sheet … studies conducted in 11 countries to explore liquidity risk transmission. Among the main results is, first, that explanatory … power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …

minimum standard is unlikely to exhibit adverse consequences for credit supply and bank profitability. …

banks in the time period between 1995 and 2013, before the Basel III liquidity regulation to address excessive maturity …