We show that maturity transformation does not expose banks to interest rate risk—it hedges
it. The reason is the deposit franchise, which allows banks to pay deposit rates that are low …

We model the impact of interest rates on the liquidity risk of banks. Banks hedge the interest
rate risk of their assets with their deposit franchise: when rates rise the value of their assets …

Using unsecured bonds traded in the US from 1990 to 2020, we examine the sensitivity of
credit spreads to changes in firm risk. In the time period preceding the implementation of the …

While the z-score has been widely used to evaluate bank risk, it is criticized as a backward-
looking measure. We propose a forward-looking method to construct the z-score by …

As the reallocator of liquidity from banks with excess to banks with a deficit, the interbank
money market (IMM) plays a fundamental role in the proper functioning of the banking …

This article provides evidence that machine learning methods are suitable for reliably
predicting the failure risk of European Union-27 banks from the experiences of the past …

This study maps the conceptual structure of the body of knowledge concerning bank risk to
understand this research strand better. A bibliometric analysis including 671 publications …

For globally systemically important banks (GSIBs) with US headquarters, we find significant
reductions in market-implied probabilities of government bailout after the Global Financial …

Banks' ratio of the market value to book value of their equity was close to 1 until the 1990s,
then more than doubled during the 1996–2007 period, and fell again to values close to 1 …

In competitive capital markets, risky debt claims that offer high yields in good times have
high systematic risk exposure in bad times. We apply this idea to bank risk measurement …