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The Strategic Under-Reporting of Bank Risk
| Content Provider | Semantic Scholar |
|---|---|
| Author | Begley, Taylor Purnanandam, Amiyatosh Zheng, Kuncheng |
| Copyright Year | 2014 |
| Abstract | We show that banks significantly under-report the risk in their trading book when they have lower equity capital. Specifically, a decrease in a bank’s equity capital results in substantially more violations of its self-reported risk levels in the following quarter. The under-reporting is especially high during the critical periods of high systemic risk and for banks with larger trading operations. We exploit a discontinuity in the expected benefit of under-reporting present in Basel regulations to provide further support for a causal link between capital-saving incentives and under-reporting. Overall, we show that banks’ self-reported risk measures become least informative precisely when they matter the most. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://deepblue.lib.umich.edu/bitstream/handle/2027.42/109751/1260_Purnanandam_Sept2016_2.pdf?isAllowed=y&sequence=10 |
| Alternate Webpage(s) | https://www.aeaweb.org/conference/2016/retrieve.php?pdfid=639 |
| Alternate Webpage(s) | https://deepblue.lib.umich.edu/bitstream/handle/2027.42/109751/1260_Purnanandam_Apr2015.pdf?isAllowed=y&sequence=4 |
| Alternate Webpage(s) | https://deepblue.lib.umich.edu/bitstream/handle/2027.42/109751/1260_Purnanandam_Sept2016.pdf?isAllowed=y&sequence=8 |
| Alternate Webpage(s) | http://mendoza.nd.edu/assets/182570/2015_fall_finance_seminar_series_amiyatosh_purnanandam_paper.pdf |
| Alternate Webpage(s) | https://deepblue.lib.umich.edu/bitstream/handle/2027.42/109751/1260_Purnanandam.pdf?isAllowed=y&sequence=1 |
| Alternate Webpage(s) | https://deepblue.lib.umich.edu/bitstream/handle/2027.42/109751/1260_Purnanandam_March2016.pdf?isAllowed=y&sequence=6 |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Backtesting Bank (environment) Causal filter Column (database) Ephrin Type-B Receptor 1, human Equity crowdfunding Exception handling Gene regulatory network HL7PublishingSubSection |
| Content Type | Text |
| Resource Type | Article |
