01724cas a2200253 a 4500 AALejournalIMF022561 230101c9999 xx r poo 0 0eng d 5.00 USD 9781463933791 1018-5941 BD-DhAAL BD-DhAAL Das, Sonali. How Risky Are Banks' Risk Weighted Assets? : Evidence From the Financial Crisis / Sonali Das, Amadou Sy. Washington, D.C. : International Monetary Fund, 2012. 1 online resource (38 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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 where banks can use Basel II internal risk models. For large banks, investors paid less attention to RWA and rewarded instead lower wholesale funding and better asset quality. RWA do not, in general, predict market measures of risk although there is evidence of a positive relationship before the US crisis which becomes negative afterwards. Mode of access: Internet Sy, Amadou. IMF Working Papers; Working Paper ; No. 2012/036 Full text available on IMF http://elibrary.imf.org/view/journals/001/2012/036/001.2012.issue-036-en.xml IMF e-Library