differences in LGDs imply that, for an identical loan portfolio, the bank that sets the highest LGDs would have Basel II minimum … large U.S. banks assign to syndicated loans for regulatory capital purposes. Using internal bank data on loans that had PDs … and LGDs assigned by more than one bank, we find substantial dispersion in these parameters. Banks differ substantially in …

optimally tilt their government bond portfolio toward domestic securities, linking their destiny to that of the sovereign. If …, in the context of the eurozone periphery, the increase in domestic government bond holdings, the reduction of bank credit …

We investigate one channel through which the annual bank stress tests, as part of the Federal Reserve’s Comprehensive … Capital Analysis and Review (CCAR) review, could unexpectedly affect the provision of bank credit. To quantify the impact of … growth of BHCs subject to supervisory or bank-run stress tests. Consistent with previous results in the bank capital …

in bank capital requirements. Intuitively, higher capital requirements raise banks’ skin in the game and screening out …

the banks' trading revenues and help to explain the bank VaR performance results. While highly conservative in the pre …-crisis period, bank VaR exceedances were excessive and clustered in the crisis period. All benchmark VaRs were more accurate in the …-period market conditions. Despite their weaker performance, the bank VaRs exhibited greater predictive power for a measure of …

change charters, an effect that is large for both national and state charters. In addition, controlling for bank ratings …

We study short-term and medium-term changes in bank risk-taking as a result of supervision, and the associated real … effects. For identification, we exploit the European Central Bank's asset-quality review (AQR) in conjunction with security …

We investigate whether the bank examination process provides useful insight into bank future outcomes. We do this by … conducting textual analysis on about 5,500 small to medium-sized commercial bank examination reports from 2004 to 2016. These …, management, earnings, and liquidity. Each component is given a categorical rating, and each bank is assigned an overall composite …

banks submit in Term Deposit Facility operations, a Federal Reserve tool created to manage the quantity of bank reserves. We … term deposits qualify for the LCR. These results suggest that liquidity regulation affects bank demand in monetary policy …