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This article analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-risk exposure using Value-at-Risk (VaR). We find that VaR risk managers often optimally choose a larger exposure to risky assets than non-risk managers and consequently incur larger losses when losses occur. We suggest(More)
The opinions expressed do not necessarily reflect those of the Board of Governors or its staff. The authors thank an anonymous referee for valuable guidance and suggestions, Randy Kroszner and Raghu Rajan for very useful discussants comments, Abstract We examine the effects of bank M&As on small business lending. Our methodology permits empirical analysis(More)
1 We acknowledge the Interbank Deposit Protection Fund of Italy (FITD) and the Italian Bankers' Association for providing us with the data set employed in this paper, to Cristiano Zazzara and Marco Pellegini for their help in acquisition, translation, and understanding of this publicly available data set, and the Bank for International Settlements (BIS) for(More)
Procyclicality has emerged as a potential drawback to adoption of risk-sensitive bank capital requirements. Systematic risk factors may result in increases (decreases) in bank capital requirements when the economy is depressed (overheated), thereby decreasing (increasing) bank lending capacity and exacerbating business cycle fluctuations. Procyclicality may(More)
This paper examines the effects of cross-border bank mergers on the risk and (abnormal) returns of acquiring banks. We find that overall, the acquirers' risk neither increases nor decreases. In particular, on average neither their total risk nor their systematic risk falls relative to banks in their home banking market. The abnormal returns to acquirers are(More)
for their data assistance. The computational assistance of Vellore Vishore and Sreedar Bharath are also acknowledged as well as the coordination by Robyn Vanterpool. The opinions presented are solely of the authors. **This paper's drafts have been prepared for two symposia on the proposed new guidelines; the Abstract This paper has examined two specific(More)
The opinions expressed in this paper are those of the authors, and do not necessarily represent those of the Federal Reserve Banks or the Federal Reserve System. Finally, the authors would like to thank two anonymous referees and the editor Mark Flannery for their helpful comments. Abstract This paper looks at the role of commercial banks and investment(More)
This paper is among the first to investigate the effect of a prior investment banking relationship on merger advisory fees paid by acquiring firms. We find that acquiring firms pay a higher fee to advisors when they have had a continuing relationship and a lower fee when they switch to an advisor with whom they have had no prior relationship. We develop a(More)
This paper studies the interconnectedness of banks in the syndicated loan market as a major source of systemic risk. We develop a set of novel measures to describe the "distance" (similarity) between two banks'syndicated loan portfolios and …nd that such distance explains how banks are interconnected in this market. As lead arrangers choose to work with(More)