Stronger Risk Controls, Lower Risk: Evidence from US Bank Holding Companies

• 成果类型: Article
• 署名作者: Ellul, Andrew; Yerramilli, Vijay
• 署名单位: Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Houston System; University of Houston
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12057
• 发表日期: 2013
• 页码: 1757-1803
• 关键词: CORPORATE GOVERNANCE; Deposit insurance; management

摘要

We construct a risk management index (RMI) to measure the strength and independence of the risk management function at bank holding companies (BHCs). The U.S. BHCs with higher RMI before the onset of the financial crisis have lower tail risk, lower nonperforming loans, and better operating and stock return performance during the financial crisis years. Over the period 1995 to 2010, BHCs with a higher lagged RMI have lower tail risk and higher return on assets, all else equal. Overall, these results suggest that a strong and independent risk management function can curtail tail risk exposures at banks.