NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Vijay Yerramilli

334 Melcher Hall
Bauer College of Business
University of Houston
Houston, TX 77204

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NBER Working Papers and Publications

July 2010Stronger 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: Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies, Andrew Ellul, Vijay Yerramilli. in Market Institutions and Financial Market Risk, Carey, Kashyap, Rajan, and Stulz. 2012

June 2010Stronger 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
 
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