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The Risks of Financial Institutions
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The Risks of Financial Institutions

Mark Carey and Rene M. Stulz

Abstract

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. This book examines the various risks affecting financial institutions and explores a varie ... More

Keywords: financial system, debt crises, risks, financial institutions, regulators, regulatory organizations, banking, financial stability, risk management

Bibliographic Information

Print publication date: 2007 Print ISBN-13: 9780226092850
Published to Chicago Scholarship Online: February 2013 DOI:10.7208/chicago/9780226092980.001.0001

Authors

Affiliations are at time of print publication.

Mark Carey, editor

Rene M. Stulz, editor

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Contents

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Introduction

Mark Carey and René M. Stulz

I Market Risk, Risk Modeling, and Financial System Stability

2 Estimating Bank Trading Risk

James O̓Brien and Jeremy Berkowitz

II Systemic Risk

3 How Do Banks Manage Liquidity Risk?

Evan Gatev, Til Schuermann, and Philip E. Strahan

4 Banking System Stability

Philipp Hartmann, Stefan Straetmans, and Casper G. de Vries

5 Bank Concentration and Fragility

Thorsten Beck, Asli Demirgüç-Kunt, and Ross Levine

6 Systemic Risk and Hedge Funds

Nicholas Chan, Mila Getmansky, Shane M. Haas, and Andrew W. Lo

III Regulation

7 Systemic Risk and Regulation

Franklin Allen and Douglas Gale

8 Pillar 1 versus Pillar 2 under Risk Management

Loriana Pelizzon and Stephen Schaefer

IV New Frontiers in Risk Measurement

9 Global Business Cycles and Credit Risk

M. Hashem Pesaran, Til Schuermann, and Björn-Jakob Treutler

10 Implications of Alternative Operational Risk Modeling Techniques

Patrick de Fontnouvelle, Eric S. Rosengren, and John S. Jordan

11 Practical Volatility and Correlation Modeling for Financial Market Risk Management

Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold

12 Special Purpose Vehicles and Securitization

Gary B. Gorton and Nicholas S. Souleles