informing on the procyclicality of risk parameters and bank capital requirements. …

This paper investigates the causal effects of voluntary information disclosures on a bank's expected default … probability, enterprise risk, and value. I measure disclosure via a self-constructed index for the largest 80 U.S. bank holding … companies for the period 1998-2011. I provide evidence that a bank's management responds to a plausibly exogenous deterioration …

particular, we ask whether bank-dependent firms suffer greater rollover risk than otherwise similar firms that do not rely on … bank financing (i.e., firms that depend on publicly traded debt). Empirical evidence strongly supports the rollover risk … examine if the rollover risk effect is higher for firms that depend on bank financing, compared with firms without this …

How does bank distress impact their customers' probability of default and trade credit availability? We address this … question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times … of distress and crisis, featuring the different transmission of bank distress shocks into already weakened firm balance …

.3% increase in default rates. We present evidence revealing the extent to which bank financing dependence affects the influence of … rollover risk on default risk. Firms that depend on bank financing suffer the strongest rollover risk, especially during crisis …

This paper studies the economic and theoretical foundations of insolvency risk measurement and capital adequacy rules … measuring insolvency risk and capital adequacy in Basel III. We show how insolvency risk measurement, capital adequacy and … integrated measure of risk and capital by disentangling assets, debt and equity; the Firm Insolvency Risk Index (FIRI) that is …

We use tools from survival analysis to study the equilibrium probability of bank failure in a model with imperfect … derive several surprising results: in equilibrium, a bank can be more likely to fail with less risky than with more risky … borrowers. In addition, the equilibrium relationship between borrower and bank risk can be fundamentally altered by a greater …