We examine whether and how measures of market and credit risk modeling identified from banks' financial reports enhance the returns-relevance of their estimated annual unrealized fair value gains and losses for financial instruments. To capture differences in market liquidity and fair valuation...

Prior to 2018, accounting rules required banks that recognize financial liabilities at fair value to record unrealized gains and losses on the liabilities attributable to changes in the banks' own credit risk, referred to as the debt valuation adjustment (DVA), in earnings each period. Using a...

Existing research finds that climate-related natural disasters generally have had insignificant effects on banks. In contrast, using forward-looking measures of climate risk at the U.S. county-level, we provide evidence that banks’ non-agency residential mortgage and small business lending as...