On December 12, 2019, Fed in Print will introduce its new platform for discovering content. Please direct your questions to Anna Oates

Home About Latest Browse RSS Advanced Search

Board of Governors of the Federal Reserve System (U.S.)
International Finance Discussion Papers
Realized Bank Risk during the Great Recession
Yener Altunbas
Simone Manganelli
David Marques-Ibanez
Abstract

In the years preceding the 2007-2009 financial crisis, forward-looking indicators of bank risk concentrated and suggested unusually low expectations of bank default. We assess whether the ex-ante (i.e. prior to the crisis) cross-sectional variability in bank characteristics is related to the ex-post (i.e. during the crisis) materialization of bank risk. Our tailor-made dataset crucially accounts for the different dimensions of realized bank risk including access to central bank liquidity during the crisis. We consistently find that less reliance on deposit funding, more aggressive credit growth, larger size and leverage were associated with larger levels of realized risk. The impact of these characteristics is particularly relevant for capturing the systemic dimensions of bank risk and tends to become stronger for the tail of the riskier banks. The majority of these characteristics also predicted bank risk as materialized before the financial crisis.


Download Full text
Download DOI
Cite this item
Yener Altunbas & Simone Manganelli & David Marques-Ibanez, Realized Bank Risk during the Great Recession, Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers 1140, 04 Aug 2015, revised 05 Oct 2015.
More from this series
JEL Classification:
Subject headings:
Keywords: Bank risk; business models; Great Recession
For corrections, contact Ryan Wolfslayer ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal