[...]Our analysis suggests that, when we look across banks, themarket risk capital figures provide little additional informationabout the extent of an institution’s market risk exposurebeyond that conveyed by simply knowing the relative size of thetrading account. In contrast, when we look at...

[...]This article examines the economic rationale for managingrisk on a firmwide, consolidated basis. Our goal is to lay outsome of the key issues that supervisors and risk managementpractitioners have confronted in assessing and developingconsolidated risk management systems. In doing so, we...

[...]The purpose of this article is to build on this earlier work, bythe Basel Committee and others, and to consider the issues thatwould have to be addressed in developing a regulatory minimumcapital standard based on banks’ internal credit risk models. Inconducting this exercise, we consider...

[...]In this article, we provide insight into the policyaspects of this informational time decay by assessing howthe length of time between bank examinations affects thequality of information available to supervisors. For thesepurposes, we define the quality of information in terms ofhow...

The Federal Reserve is responsible for the prudential supervision of bank holding companies (BHCs) on a consolidated basis. Prudential supervision involves monitoring and oversight to assess whether these firms are engaged in unsafe or unsound practices, as well as ensuring that firms are taking...

We find evidence that the Federal Reserve stress tests (CCAR and DFAST) produce information about the stress-tested firms as well as other, non-stress-tested banking companies. Although standard event studies do not always show abnormal returns for the stress-tested sample on average, we argue...

Economists have extensively analyzed the regulation of banks and the banking industry, but have devoted considerably less attention to bank supervision as a distinct activity. Indeed, much of the banking literature has used the terms "supervision" and "regulation" interchangeably. This paper...