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, 1983-
- dc.contributor.author Sette, Enrico
- dc.contributor.author Vanasco, Victoria
- dc.date.accessioned 2021-03-26T12:34:40Z
- dc.date.available 2021-03-26T12:34:40Z
- dc.date.issued 2023-02
- 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.en
- dc.format.mimetype application/pdf*
- dc.identifier.uri http://hdl.handle.net/10230/46965
- dc.language.iso engca
- dc.rights.accessRights info:eu-repo/semantics/openAccessca
- dc.subject.keyword Risk shiftingen
- dc.subject.keyword Financial crisesen
- dc.subject.keyword Securitiesen
- dc.subject.keyword Bank capitalen
- dc.subject.keyword Reach for yielden
- dc.subject.keyword Uncertaintyen
- dc.subject.keyword Risk weightsen
- dc.subject.keyword Supervisionen
- dc.subject.keyword Franchise valueen
- dc.subject.keyword COVID-19en
- dc.title Risk mitigating versus risk shifting : evidence from banks security trading in crisesca
- dc.type info:eu-repo/semantics/workingPaperca