The Strategic Under-Reporting of Bank Risk
dc.contributor.author | Purnanandam, Amiyatosh K. | |
dc.contributor.author | Zheng, Kuncheng (K.C.) | |
dc.contributor | Begley, Taylor A. | |
dc.date.accessioned | 2015-01-06T18:11:36Z | |
dc.date.available | 2015-01-06T18:11:36Z | |
dc.date.issued | 2016-09 | |
dc.identifier | 1260 | en_US |
dc.identifier.citation | Forthcoming Review of Financial Studies | |
dc.identifier.uri | https://hdl.handle.net/2027.42/109751 | |
dc.description.abstract | We show that banks significantly under-report the risk in their trading book when they have lower equity capital. Specifically, a decrease in a bank's equity capital results in substantially more violations of its self-reported risk levels in the following quarter. The under-reporting is especially high during the critical periods of high systemic risk and for banks with larger trading operations. We exploit a discontinuity in the expected benefit of under-reporting present in Basel regulations to provide further support for a causal link between capital-saving incentives and under-reporting. Overall, we show that banks' self-reported risk measures become least informative precisely when they matter the most. | en_US |
dc.subject | value-at-risk | en_US |
dc.subject | risk-based capital requirements | en_US |
dc.subject | risk measurement | en_US |
dc.subject | systemic risk | en_US |
dc.subject.classification | Finance | en_US |
dc.title | The Strategic Under-Reporting of Bank Risk | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Finance | en_US |
dc.subject.hlbtoplevel | Business | |
dc.contributor.affiliationum | Ross School of Business | en_US |
dc.contributor.affiliationother | London Business School | en_US |
dc.contributor.affiliationother | Northeastern University - D’Amore-McKim School of Business | |
dc.contributor.affiliationumcampus | Ann Arbor | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/109751/1/1260_Purnanandam.pdf | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/109751/4/1260_Purnanandam_Apr2015.pdf | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/109751/6/1260_Purnanandam_March2016.pdf | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/109751/8/1260_Purnanandam_Sept2016.pdf | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/109751/10/1260_Purnanandam_Sept2016_2.pdf | |
dc.description.filedescription | Description of 1260_Purnanandam_Sept2016.pdf : September 2016 revision | |
dc.description.filedescription | Description of 1260_Purnanandam_March2016.pdf : March 2016 revision | |
dc.description.filedescription | Description of 1260_Purnanandam_Apr2015.pdf : April 2015 revision | |
dc.description.filedescription | Description of 1260_Purnanandam_Sept2016_2.pdf : September 2016 revision (new) | |
dc.owningcollname | Business, Stephen M. Ross School of - Working Papers Series |
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