Risk mitigating versus risk shifting: evidence from banks security trading in crises
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- dc.contributor.author Peydró, José-Luis
- dc.contributor.author Polo, Andrea
- dc.contributor.author Sette, Enrico
- dc.contributor.author Vanasco, Victoria
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2024-11-14T10:09:36Z
- dc.date.available 2024-11-14T10:09:36Z
- dc.date.issued 2020-11-01
- dc.date.modified 2024-11-14T10:07:22Z
- dc.description.abstract We show that risk-mitigating incentives dominate risk-shifting incentives in fragile banks. We study security trading by banks, as banks can easily and quickly change their risk exposure within their security portfolio. For identification, we exploit different crisis shocks and supervisory ISIN-bank-month-level data. Less capitalized banks take relatively less risk after financial stress shocks. Results hold within identical regulatory capital risk weights categories. Moreover, additional tests suggest that banks' own incentives, rather than supervision, are the main drivers. Results hold for the different crisis shocks since 2007/08, including the COVID-19 one. A model of bank behavior rationalizes our findings.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1753
- dc.identifier.citation
- dc.identifier.uri http://hdl.handle.net/10230/68559
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1753
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword risk shifting
- dc.subject.keyword financial crises
- dc.subject.keyword securities
- dc.subject.keyword bank capital
- dc.subject.keyword interbank funding
- dc.subject.keyword concentration risk
- dc.subject.keyword uncertainty
- dc.subject.keyword risk weights
- dc.subject.keyword available for sale
- dc.subject.keyword held to maturity
- dc.subject.keyword trading book
- dc.subject.keyword covid-19
- dc.subject.keyword Finance and Accounting
- dc.title Risk mitigating versus risk shifting: evidence from banks security trading in crises
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper