How Risky Are Banks' Risk Weighted Assets? Evidence from the Financial Crisis
Author:   Sonali Das ,  Amadou N R Sy
Publisher:   International Monetary Fund
ISBN:  

9781463986919


Pages:   40
Publication Date:   01 January 2012
Format:   Electronic book text
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How Risky Are Banks' Risk Weighted Assets? Evidence from the Financial Crisis


Overview

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.

Full Product Details

Author:   Sonali Das ,  Amadou N R Sy
Publisher:   International Monetary Fund
Imprint:   International Monetary Fund
ISBN:  

9781463986919


ISBN 10:   1463986912
Pages:   40
Publication Date:   01 January 2012
Audience:   General/trade ,  General
Format:   Electronic book text
Publisher's Status:   Active
Availability:   Available To Order   Availability explained
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

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