This paper investigates the size and development of Dutch banks' interest rate risk positions in the banking book during the period from 2008 to 2015. Interest rate risk positions are rather modest and the income from maturity transformation it generates is only a small proportion of the net...

We quantify the gains from regulating banks' maturity transformation in an infinite horizon model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic...

We use credit-arbitrage asset-backed commercial paper vehicles as a laboratory to empirically examine financial institutions' motivations to take bad-tail systematic risk. By comparing the characteristics of global banks that sponsored credit-arbitrage vehicles prior to the global financial...

Litigation against a bank is indicative of misconduct risk because it suggests a failure to process customer complaints (EBA, 2014). This study examines the relationship between certain features of banks and potential and actual misconduct based on a panel of complaints submitted to the Italian...

This paper analyses the impact of bank's income diversification and funding strategies on Bank's Return on Asset and Z score (Proxy for Risk). Based on data from 2005- 2017 on Indian Public and Private sector banks. It has been found that even though the proportion of non-deposit funding is very...

We study whether cross-country differences in regulations have affected international bank flows. We find strong evidence that banks have transferred funds to markets with fewer regulations. This form of regulatory arbitrage suggests there may be a destructive “race to the bottom” in global...

Conventional wisdom in banking argues that diversification tends to reduce bank risk and improve performance, but the recent financial crisis suggests that aggressive diversification strategies may have resulted in increased risk taking and poor performance. This paper addresses this important...

In this paper we revisit the long debate on the risk effects of bank competition and propose a new approach to the empirical estimation of the relation between deposit market competition and bank risk. Our approach accounts for the opportunity of banks to shift to wholesale funding when deposit...

This paper provides a baseline model for regulatory analysis of systemic liquidity shocks. We show that banks may have an incentive to invest excessively in illiquid long-term projects. In the prevailing mixed-strategy equilibrium, the allocation is inferior from the investor's point of view...