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Book Cover
Author Das, Sonali, author

Title How risky are banks' risk weighted assets? : evidence from the financial crisis / Sonali Das and Amadou N.R. Sy
Published [Washington, D.C.] : International Monetary Fund, [2012]
Online access available from:
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Description 1 online resource (38 pages) : illustrations
Series IMF working paper ; WP/12/36
IMF working paper ; WP/12/36
Summary We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of stock returns and market measures of risk. We find that banks with higher RWA had lower stock returns over the US and European crises. This relationship is weaker in Europe where banks can use Basel II internal risk models. For large banks, investors paid less attention to RWA and rewarded instead lower wholesale funding and better asset quality. RWA do not, in general, predict market measures of risk although there is evidence of a positive relationship before the US crisis which becomes negative afterwards
Notes "January 2012."
At head of title: Monetary and Capital Markets Department
Title from PDF title page (IMF Web site, viewed January 30, 2012)
Bibliography Includes bibliographical references
Subject Bank assets.
Bank capital.
Banks and banking -- State supervision.
Financial risk -- Econometric models.
Global Financial Crisis, 2008-2009.
Form Electronic book
Author Sy, Amadou N. R., author
International Monetary Fund. Monetary and Capital Markets Department, issuing body
ISBN 1463986912