Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/270732 
Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
European Corporate Governance Institute – Finance Working Paper No. 713/2020
Verlag: 
SSRN, Rochester, NY
Zusammenfassung: 
We show that risk-mitigating incentives dominate risk-shifting incentives in fragile banks. We study security trading by banks, as banks can easily and quickly change their risk exposure within their security portfolio. For identification, we exploit different crisis shocks and supervisory ISIN-bank-month-level data. Less capitalized banks take relatively less risk after financial stress shocks. Results hold within identical regulatory capital risk weights categories. Moreover, additional tests suggest that banks’ own incentives, rather than supervision, are the main drivers. Results hold for the different crisis shocks since 2007/08, including the COVID-19 one. A model of bank behavior rationalizes our findings.
Schlagwörter: 
risk shifting
financial crises
securities
bank capital
reach for yield
uncertainty
risk weights
supervision
franchise value
COVID-19
JEL: 
G00
G01
G21
G28
G30
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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