It is well-known that traditional financial institutions like banks follow procyclical risk strategies (Rajan 2005, 2009, Shin 2009, Jacques 2010) in the sense that they increase their leverage in economic expansions and reduce it in recessions, which leads to a procyclical behaviour for their...

During the last decades, banks off-balance sheet (OBS) activities (e.g. securitization, trading and fee-based activities) have greatly contributed to the increase in bank risk. However, the standard financial indicators such as the Value-at-Risk and the accounting leverage, exclude these...