exposure in bad times. We apply this idea to bank risk measurement. We find that banks with high accounting return on equity … triggered by the collapse of Silicon Valley Bank. ROE predicts systematic tail risk much better than conventional measures based …

bank funding costs. We show that credit supply is dampened by the associated debt-overhang cost to bank shareholders. Until … offset if drawdowns are expected to be left on deposit at the same bank, which happened at some of the largest banks during …

Bank risk-based capital (RBC) standards require banks to hold differing amounts of capital for different classes of … weights accurately reflect bank asset risk, we find that the weights fail even in their limited goal of correctly quantifying … are considered in the RBC regulations. We also examine other types of bank risk by estimating a simple factor model that …

Inspired by the Silicon Valley Bank run and building on Diamond- Dybvig (1993), we develop a model in which asset price … fluctuations can trigger bank runs. Liquidation amounts to selling assets at their market price. Depositors can buy and hold the …