| Description |
1 online resource (38 pages) : illustrations |
| Series |
IMF working paper ; WP/12/36 |
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IMF working paper ; WP/12/36.
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| Contents |
Cover; ABSTRACT; CONTENTS; I. INTRODUCTION; II. STYLIZED FACTS; III. RISK WEIGHTED ASSETS: BASEL II AND STANDARDIZED AND IRB APPROACHES; IV. REVIEW OF LITERATURE; V. DATA AND METHODOLOGY; Market measures of risk; VI. ESTIMATION RESULTS; Determinants of stock returns; Market Measures of Risk and Balance-Sheet Measures of Risk Exposure; VII. CONCLUSIONS; TABLES; APPENDIX TABLES |
| 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 |
At head of title: Monetary and Capital Markets Department |
|
Title from PDF title page (IMF Web site, viewed January 30, 2012) |
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"January 2012." |
| Bibliography |
Includes bibliographical references |
| Subject |
Financial risk -- Econometric models
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Bank assets.
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Bank capital.
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Banks and banking -- State supervision.
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Global Financial Crisis, 2008-2009.
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Bank assets
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Bank capital
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Banks and banking -- State supervision
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| Form |
Electronic book
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| Author |
Sy, Amadou N. R., author.
|
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International Monetary Fund. Monetary and Capital Markets Department, issuing body.
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| ISBN |
9781463986919 |
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1463986912 |
|
1463975112 |
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9781463975111 |
|
1463967896 |
|
9781463967895 |
|
9781463933791 |
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1463933797 |
|
