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How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis, Sonali Das, Amadou Sy

Contributor
Abstract
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
Table Of Contents
Cover Page; Title Page; Copyright Page; Abstract; Contents; Market measures of risk; Determinants of stock returns; Market Measures of Risk and Balance-Sheet Measures of Risk Exposure; Appendix Tables; Tables; VII. Conclusions; VI. Estimation Results; V. Data and Methodology; IV. Review of Literature; III. Risk Weighted Assets: Basel II and Standardized and IRB Approaches; II. Stylized Facts; I. Introduction; Footnotes
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (64 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781463967895

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