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The Risk Of Financial Institutions

The Risk Of Financial Institutions

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  • ISBN:9780226092850
  • Editorial: Chicago U.P.
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:520
  • Idiomas:Ingles,Inglés

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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 events - such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode - has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks.

The Risks of Financial Institutions examines 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.

1 Bank trading risk and systemic risk by Philippe Jorion 29
2 Estimating bank trading risk : a factor model approach by James O'Brien and Jeremy Berkowitz 59
3 How do banks manage liquidity risk? : evidence from the equity and deposit markets in the fall of 1998 by Evan Gagev and Til Schuermann and Philip E. Strahan 105
4 Banking system stability : a cross-Atlantic perspective by Philipp Hartmann and Stefan Straetmans and Casper G. de Vries 133
5 Bank concentration and fragility : impact and mechanics by Thorsten Beck and Asli Demirguc-Kunt and Ross Levine 193
6 Systemic risk and hedge funds by Nicholas Chan and Mila Getmansky and Shane M. Haas and Andrew W. Lo 235
7 System risk and regulation by Franklin Allen and Douglas Gale 341
8 Pillar 1 versus Pillar 2 under risk management by Loriana Pelizzon and Stephen Schaefer 377
9 Global business cycles and credit risk by M. Heshem Pesaran and Til Schuermann and Bjorn-Jakob Treutler 419
10 Implications of alternative operational risk modeling techniques by Patrick de Fontnouvelle and Eric S. Rosengren and John S. Jordan 475
11 Practical volatility and correlation modeling for financial market risk management by Torben G. Andersen and Tim Bollerslev and Peter F. Christoffersen and Francis X. Diebold 513
12 Special purpose vehicles and securitization by Gary B. Gorton and Nicholas S. Souleles 549
13 Default risk sharing between banks and markets : the contribution of collateralized debt obligations by Gunter Franke and Jan Pieter Krahnen 603

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