334 Melcher Hall
Bauer College of Business
University of Houston
Houston, TX 77204
NBER Working Papers and Publications
|July 2010||Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies|
with Andrew Ellul: w16178
In this paper, we investigate whether U.S. bank holding companies (BHCs) with strong and independent risk management functions have lower enterprise-wide risk. We hand-collect information on the organizational structure of the risk management function at the 74 largest publicly-listed BHCs, and use this information to construct a Risk Management Index (RMI) that measures the strength of organizational risk controls at these institutions. We find that BHCs with a high RMI in the year 2006 (i.e., before the onset of the financial crisis) had lower exposure to private-label mortgage-backed securities, were less active in trading off-balance sheet derivatives, had a smaller fraction of non-performing loans, and had lower downside risk during the crisis years (2007 and 2008). In a panel spannin...
Published: ANDREW ELLUL & VIJAY YERRAMILLI, 2013. "Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies," The Journal of Finance, vol 68(5), pages 1757-1803.
|June 2010||Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies|
with Andrew Ellul
in Market Institutions and Financial Market Risk, Mark Carey, Anil Kashyap, Raghuram Rajan, and René Stulz, organizers