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The Risks of financial institutions

Author: Carey, Mark ; Stulz, René M. Corporate author: National Bureau of Economic Research Series: National Bureau of Economic Research conference report Publisher: University of Chicago Press, 2006.Language: EnglishDescription: 655 p. : Graphs ; 24 cm.ISBN: 9780226092850Type of document: BookBibliography/Index: Includes bibliographical references and index
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Item type Current location Collection Call number Status Date due Barcode Item holds
Book Europe Campus
Main Collection
Print HG173 .R575 2006
(Browse shelf)
Available 001253115
Total holds: 0

Includes bibliographical references and index


The Risk of Financial Institutions Contents Acknowledgments Introduction Mark Carey and René M. Stutz I. MARKET RISK, RISK MODELING, AND FINANCIAL SYSTEM STABILITY xi 1 1. Bank Trading Risk and Systemic Risk Philippe Jorion 2. Estimating Bank Trading Risk: A Factor Model Approach James O'Brien and Jeremy Berkowitz Comments on chapters 1 and 2: Kenneth C. Abbott Paul Kupiec Discussion Summary II. SYSTEMIC RISK 29 59 3. How Do Banks Manage Liquidity Risk? Evidence from the Equity and Deposit Markets in the Fall of 1998 Evan Gatev, Til Schuermann, and Philip E. Strahan Comment: Mark Carey Discussion Summary 105 4. Banking System Stability: A Cross-Atlantic Perspective Philipp Hartmann, Stefan Straetmans, and Casper G. de Vries Comment: Anthony Saunders Discussion Summary 5. Bank Concentration and Fragility: Impact and Mechanics Thorsten Beck, Ash Demirgüç-Kunt, and Ross Levine Comment: Rene M. Stulz Discussion Summary 6. Systemic Risk and Hedge Funds Nicholas Chan, Mila Getmansky, Shane M. Haas, and Andrew W Lo Comment: David M. Modest Discussion Summary III. REGULATION 133 193 235 7. Systemic Risk and Regulation Franklin Allen and Douglas Gale Comment: Charles W Calomiris Discussion Summary 8. Pillar 1 versus Pillar 2 under Risk Management Loriana Pelizzon and Stephen Schaefer Comment: Marc Saidenberg Discussion Summary IV. NEW FRONTIERS IN RISK MEASUREMENT 341 377 9. Global Business Cycles and Credit Risk M. Hashem Pesaran, Til Schuermann, and Björn-Jakob Treutler Comment: Richard Cantor Discussion Summary 10. Implications of Alternative Operational Risk Modeling Techniques Patrick de Fontnouvelle, Eric S. Rosengren, and John S. Jordan Comment: Andrew Kuritzkes Discussion Summary 419 475 11. Practical Volatility and Correlation Modeling for Financial Market Risk Management Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold Comment: Pedro Santa-Clara Discussion Summary 12. Special Purpose Vehicles and Securitization Gary B. Gorton and Nicholas S. Souleles Comment: Peter Tufano Discussion Summary 13. Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations Günter Franke and Jan Pieter Krahnen Comment: Patricia Jackson Discussion Summary Biographies Contributors Author Index Subject Index 513 549 603 635 639 643 651

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