This paper studies the interconnectedness of banks in the syndicated loan market as a major source of systemic risk. We develop a set of novel measures to describe the "distance" (similarity) between two banks' syndicated loan portfolios and find that such distance explains how banks are...

This paper examines the financial impact of a transfer of legal sovereignty covering the rights to collateral to an international regime in the case of the Cape Town Convention and Protocol covering international mobile assets, specificallycommercial aircraft and related equipment, which came...

This paper examines the financial impact of a transfer of legal sovereignty covering the rights to collateral to an international regime in the case of the Cape Town Convention and Protocol covering international mobile assets, specificallycommercial aircraft and related equipment, which came...

The authors are the Max L. Heine and John M. Schiff Professors of Finance, Stern School of Business, NYU. This is an updated and revised paper from the authors report on quot;An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings,quot; (submitted to the BIS and published in...

This is an updated and revised paper from the authorsacirc;not;quot; report on acirc;not;SAn Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratingsacirc;not;? [S-CDM-00-02] (submitted to the BIS and published in the Journal of Banking amp; Finance, Vol. 25, #1, January,...

We study empirically the effect of focus (specialization) vs. diversification on the return and the risk of banks using data from 105 Italian banks over the period 1993 1999. Specifically, we analyze the tradeoffs between (loan portfolio) focus and diversification using a unique data set that is...

This paper is among the first to investigate the effect of a prior investment banking relationship on merger advisory fees paid by acquiring firms. We find that acquiring firms pay a higher fee to advisors when they have had a continuing relationship and a lower fee when they switch to an...

Recent studies have expanded the commercial bank certification hypothesis to include banks acting in an underwriting capacity. This paper further develops that research by focusing on the industrial revenue bond market in which banks have the unique opportunity to simultaneously act as both...

We survey both academic and proprietary models to examine how macroeconomic and systematic risk effects are incorporated into measures of credit risk exposure. Many models consider the correlation between the probability of default (PD) and cyclical factors. Few models adjust loss rates (loss...

This paper examines the effects of cross-border bank mergers on the risk and (abnormal) returns of acquiring banks. We find that overall, the acquirers risk neither increases nor decreases. In particular, on average neither their total risk nor their systematic risk falls relative to banks in...