NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Mark Carey

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Working Papers

June 2005The Risks of Financial Institutions
with Rene M. Stulz: w11442
Over the last twenty years, the consensus view of systemic risk in the financial system that emerged in response to the banking crises of the 1930s and before has lost much of its relevance. This view held that the main systemic problem is runs on solvent banks leading to bank panics. But financial crises of the last two decades have not fit the mold. A new consensus has yet to emerge, but financial institutions and regulators have considerably broadened their assessment of the risks facing financial institutions. The dramatic rise of modern risk management has changed how the risks of financial institutions are measured and how these institutions are managed. However, modern risk management is not without weaknesses that will have to be addressed.

Published:

  • Stulz, Rene and Mark Carey (eds.) The Risks of Financial Institutions. Chicago: University of Chicago Press, 2006.
  • David J. Hand, 2007. "The Risks of Financial Institutions edited by Mark Carey, Rene M. Stulz," International Statistical Review, International Statistical Institute, vol. 75(2), pages 266-267, 08.
  • Introduction to "The Risks of Financial Institutions", Mark Carey, Rene M. Stulz. in The Risks of Financial Institutions, Carey and Stulz. 2006

March 2000Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements
w7629
Now in prospect is a major revision of international bank capital regulations that would embody recent advances in credit risk measurement and management. Previous regulations have been simpler in structure, with a primary goal of getting capital requirements right on average, and thus have largely ignored the difference between average and marginal. This paper presents evidence that explicit treatment in new regulations of several important dimensions of credit risk is necessary. If such dimensions are compressed or ignored, capital arbitrage activities by banks are likely to continue, leading to an increase in bank failure rates over time.

Published: Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements, Mark Carey. in Prudential Supervision: What Works and What Doesn't, Mishkin. 2001

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
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