combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model …

bank profits, taxpayers, and consumers. …

In this paper we relate a bank’s choice between retail and wholesale liabilities to real economic uncertainty and the … resulting volatility of bank loan volumes. We argue that since the volume of retail deposits is slow and costly to adjust to … shocks in the volume of bank assets, banks facing more intense uncertainty and more volatile loan demand tend to employ more …

that supervision should include a comprehensive view of different bank risk dimensions. …We show that banks' risk exposure in one asset category affects how they report regulatory risk weights for another … asset category. Specifically, banks report lower credit risk weights for their loan portfolio when they face higher risk …