European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and … country. Finally, we evaluate the effect of diversification requirements on the tail risk of sovereign bond portfolios. Under …

The purpose of this paper is to investigate the main drivers of the change in the credit risk provisions at a portfolio … variables. Our results show that, although EBA variables explain most part of credit risk provisions, we obtain evidence about …/substitution effects of both bank- and portfolio-level variables with the characteristics of the banking sector when explaining credit risk …

This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk … increase their risk-taking. This increase in risk-taking however, should be more than outweighed by the benefits of higher …

the effect of competition on realised bank risk (i.e. more intense competition and greater use of securitisation is … correlated with higher levels of realised risk) during the crisis. In contrast, higher levels of capital did not buffer the … impact of competition on realised risk. It follows that cooperation between supervisory and competition authorities is …

explained by concurrent risk‐shifting, carry‐trading, regulatory compliance, or shocks to investment opportunities …

, under-capitalized banks have an incentive to gamble on these bonds. The optimal reaction by depositors to insolvency risk …

income (normalized by total assets) conditional to changes in key macro-financial risk factors. To map the linkages of net … trading income with financial risk factors and capture non-linear effects, we implement a dynamic fixed effects quantile model … income distribution from which we quantify tail risk measures and expected losses across banks. We find a heterogeneous and …

particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other … funds has affected the probability of fund failure. We find that risk spillover is significantly related to the failure … within the same investment style are adversely affected through both channels of risk spillover. In addition, we find that …