How Risky Are Banks' Risk Weighted Assets? : Evidence From the Financial Crisis /

We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of stock returns and market measures of risk. We find that banks with higher RWA had lower stock returns over the US and European crises. This relationship is weaker in Europe whe...

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Detalles Bibliográficos
Autor principal: Das, Sonali
Otros Autores: Sy, Amadou
Formato: Revista
Lenguaje:English
Publicado: Washington, D.C. : International Monetary Fund, 2012.
Colección:IMF Working Papers; Working Paper ; No. 2012/036
Acceso en línea:Full text available on IMF