The Risks of Financial Institutions

by Carey, Mark S.; Stulz, Rene M.

• ISBN13: 9780226092850
• ISBN10: 0226092852
• Format: Hardcover
• Copyright: 2007-02-15
• Publisher: Univ of Chicago Pr

Summary

Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of eventssuch as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episodehas forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutionsexamines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.

Author Biography

Mark Carey is finance project manager in the Division of International Finance at the Federal Reserve Board. René M. Stulz is the Everett D. Reese Chair of Banking and Monetary Economics at the Ohio State University and a research associate of the NBER.

Table of Contents

Acknowledgments	p. xi
Introduction	p. 1
Market Risk, Risk Modeling, and Financial System Stability
Bank Trading Risk and Systemic Risk	p. 29
Estimating Bank Trading Risk: A Factor Model Approach	p. 59
Comments on chapters 1 and 2: Kenneth C. Abbott, Paul Kupiec
Discussion Summary
Systemic Risk
How Do Banks Manage Liquidity Risk? Evidence from the Equity and Deposit Markets in the Fall of 1998	p. 105
Comment: Mark Carey
Discussion Summary
Banking System Stability: A Cross-Atlantic Perspective	p. 133
Comment: Anthony Saunders
Discussion Summary
Bank Concentration and Fragility: Impact and Mechanics	p. 193
Comment: Rene M. Stulz
Discussion Summary
Systemic Risk and Hedge Funds	p. 235
Comment: David M. Modest
Discussion Summary
Regulation
Systemic Risk and Regulation	p. 341
Comment: Charles W. Calomiris
Discussion Summary
Pillar 1 versus Pillar 2 under Risk Management	p. 377
Comment: Marc Saidenberg
Discussion Summary
New Frontiers in Risk Measurement
Global Business Cycles and Credit Risk	p. 419
Comment: Richard Cantor
Discussion Summary
Implications of Alternative Operational Risk Modeling Techniques	p. 475
Comment: Andrew Kuritzkes
Discussion Summary
Practical Volatility and Correlation Modeling for Financial Market Risk Management	p. 513
Comment: Pedro Santa-Clara
Discussion Summary
Special Purpose Vehicles and Securitization	p. 549
Comment: Peter Tufano
Discussion Summary
Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations	p. 603
Comment: Patricia Jackson
Discussion Summary
Biographies	p. 635
Contributors	p. 639
Author Index	p. 643
Subject Index	p. 651
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