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Essays on bank risk.

Stever, Ryan David.

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Essays on bank risk.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Essays on bank risk./
作者:	Stever, Ryan David.
面頁冊數:	111 p.
附註:	Adviser: Gregory R. Duffee.
Contained By:	Dissertation Abstracts International67-08A.
標題:	Business Administration, Banking. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3228501
ISBN:	9780542826689

Essays on bank risk.
Stever, Ryan David.

Essays on bank risk. - 111 p.

Adviser: Gregory R. Duffee.

Thesis (Ph.D.)--University of California, Berkeley, 2006.

This study examines bank risk from a corporate finance setting. Both corporate finance and banking are established fields in economics and finance. Although inherently related these fields' literatures are often disjoint. Each of the essays in this study attempts to add to the knowledge of banks by using tools of risk analysis and corporate structure from corporate finance and to add to the knowledge of corporate finance by using the rich data available for the banking industry.

ISBN: 9780542826689Subjects--Topical Terms:

1018458
Business Administration, Banking.

Essays on bank risk.
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520 $a This study examines bank risk from a corporate finance setting. Both corporate finance and banking are established fields in economics and finance. Although inherently related these fields' literatures are often disjoint. Each of the essays in this study attempts to add to the knowledge of banks by using tools of risk analysis and corporate structure from corporate finance and to add to the knowledge of corporate finance by using the rich data available for the banking industry.
520 $a The first essay examines the equity and loan portfolio characteristics of publicly-traded banks. Unlike the pattern for non-financial firms this study finds that betas of large banks are significantly greater than the betas of small banks. In explaining this, it is noted that regulation imposes an effective cap on banks' equity volatility. Because the portfolios of small banks are less diversified, this cap has a greater effect on small banks than large banks. Small banks inability to diversify forces them to either pick borrowers whose assets have relatively low risk or make loans that are backed by relatively more collateral.
520 $a The second essay examines why corporations hedge risk. Due to regulatory standards, the use of derivatives for hedging purposes in the banking industry is detailed and complete with a large sample of publicly-traded banks to consider in cross-section. This paper examines banks' needs to avoid costly bankruptcy, their high leverage, and regulatory capital requirements to answer the question why firms and banks in particular hedge risk.
520 $a The third essay proposes that individual banks' reported loan losses and provisions for future loan losses are lower, all else equal, when the banking industry is weaker. It is hypothesized that this option of under-reporting charge-offs and provisions provides banks with incentives, when the banking industry is weaker, to cluster more, or to seek "safety in similarity." Evidence shows that large, individual, U.S. banks indeed tend to report both lower charge-offs and lower provisions for loan losses, after controlling for their other determinants, when the banking industry is weaker. It is shown that banks tend to be more clustered, or similar, when the banking industry is weaker.
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