This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

-based benchmark portfolio that mimics individual banks' interest rate and credit risk exposure. From 2015 to mid-2022, euro area banks … rate or credit risk when hit by shocks. Using the euro area credit register and the pandemic shock for identification, we …

-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common … risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …

study for the German market to shed light on the question whether or not the benefits of risk sharing outweigh those of … specialization. We use data from the Bundesbank's quarterly borrowers statistic to determine the degree of diversification in the …

This paper examines the validity of the risk-return trade-off for a sample of Czech banks over the period 2002-2022 by … analysing the relationship between the bank risk and risk-adjusted returns. I find evidence of a significant negative … association between the regulatory risk measure and risk-adjusted returns, indicating that the risk-return trade-off does not hold …

The paper examines whether bank diversification in multiple dimensions can protect bank lending from uncertainty shocks … credit risk amid greater uncertainty. These adverse impacts of uncertainty on bank lending (both quantity and quality) are … significantly alleviated by bank diversification in the loan portfolio, income, and funding aspects. Our findings offer practical …

(BHC) assets across U.S. metropolitan statistical areas (MSAs) on BHC risk. We find that the geographic expansion of bank … assets reduces risk. Moreover, geographic expansion reduces risk more when BHCs expand into economically dissimilar MSAs, i ….e., MSAs with different industrial structures and business cycles. We do not find that geographic diversification improves loan …

risk - the focus of this paper - is crucial. Our results show revenue diversification reduces insolvency risk in banks with … personal wealth. The link identified between ownership concentration and revenue diversification is a novel way of analyzing … the impact of the latter on insolvency risk in banks. The results also have important policy implications for regulators …

year, or one breach expected per thousand years. The capital needed to provide this protection is known as Value at Risk or …