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Firms’ risk endogenous to strategic management choices
(18.08.2015)
Bank of Finland Research Discussion Papers 16/2015
Bank of Finland Research Discussion Papers 16/2015
Use of variability of profits and other accounting-based ratios in order to estimate a firm's risk of insolvency is a well-established concept in management and economics. This paper argues that these measures fail to ...
Bonus caps, deferrals and bankers' risk-taking
(03.03.2015)
Bank of Finland Research Discussion Papers 5/2015
Bank of Finland Research Discussion Papers 5/2015
Regulators restrict bankers’ risk-taking by bonus caps or deferrals. We derive a structural model to analyze these compensation regulations and show that for a risk-neutral banker subject to positive switching costs of ...
Should bank capital requirements be less risk-sensitive because of credit constraints?
(15.05.2017)
Bank of Finland Research Discussion Papers 10/2017
Bank of Finland Research Discussion Papers 10/2017
We consider optimal capital requirements for banks' lending activities when the potential trade-off between financial stability and economic (productivity) growth is taken into account. Both sides of the trade-off are ...
Monetary policy and stock market valuation
(18.09.2020)
Bank of Finland Research Discussion Papers 16/2020
Bank of Finland Research Discussion Papers 16/2020
This paper estimates the effect of monetary policy on the term structure of stock market risk premia. Stock market risk premia are solved using analysts’ dividend forecasts and dividend future prices. Although risk-free ...
Lone (Loan) Wolf Pack Risk
(16.03.2023)
Bank of Finland Research Discussion Papers 4/2023
Bank of Finland Research Discussion Papers 4/2023
This paper proposes an early-warning bank risk measure based on the syndicate concentration of recent syndicated loans that a bank participates in. At the bank level, higher values of the measure predict greater risks ...
Yield curve momentum
(16.11.2021)
Bank of Finland Research Discussion Papers 15/2021
Bank of Finland Research Discussion Papers 15/2021
I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. ...
Stress test precision and bank competition
(02.02.2024)
Bank of Finland Research Discussion Papers 3/2024
Bank of Finland Research Discussion Papers 3/2024
We study a competitive banking sector in which banks choose the level of risk of their asset portfolios and, upon the public disclosure of stress test results, raise funding by promising investors a repayment. We show that ...