Bank Stress Test Disclosures, Private Information Production, and Price Informativeness ∗ Page
1 Bank Stress Test Disclosures, Private Information Production, and Price Informativeness ∗ …

We use bank-firm matched data to study how the capital buffers that large US banks must
satisfy to “pass” the Federal Reserve's stress tests impact banks' lending and firms' loan …

Financial regulations embody views on the behavior of economic and financial variables,
which I term regulator beliefs. Using the life insurance setting, I develop new methods to …

Portfolio similarity among the largest US banks has increased since stress testing began in
2012. Using aggregate and detailed loan‐level data, we find that, as a result of stress …

Regulators condition bank capital on risk but face the challenge of measuring risk
accurately. Capital requirements thus often rely on inputs from banks' internal risk models …

Financial institutions' heterogeneity, a high degree of dissimilarity across multiple
dimensions, including business focuses, correlated asset holdings, capital structures, and …

This paper is the first to investigate the impact of regulatory stress testing on systemic risk in
Northern and Western European banks. To measure systemic risk, we use average pairwise …

I study the design of regulation using banks' own models. Under such model-based
regulation, banks should improve their models and accurately measure risk using them. My …

Abstract Using Federal Reserve (Fed) confidential stress-test data, we exploit the gap
between the Fed's and banks' capital projections as an exogenous shock to banks and …