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Mark Carey and René M. Stulz, editors
The University of Chicago Press, 2006
Cloth: $99.00
655 pages
ISBN: 0-226-09285-2 (cloth)
Some chapters may have appeared as NBER Working Papers, which are preliminary versions of the published papers.
Table of Contents:
Introduction, p. 1-25
Mark Carey and René M. Stulz
I. Market Risk, Risk Modeling, and Financial System Stability
1. Bank Trading Risk and Systemic Risk, (p. 29-57)
Philippe Jorion
2. Estimating Bank Trading Risk: A Factor Model Approach, (p. 59-91)
James O'Brien and Jeremy Berkowitz
Comment: Kenneth C. Abbott, (p. 91-94)
Comment: Paul Kupiez, (p. 95-100)
Discussion summary, (p. 100-101)
II. Systemic Risk
3. How Do Banks Manage Liquidity Risk? Evidence from the Equity and Deposit Markets in the Fall of 1998, (p. 105-127)
Evan Gatev, Til Schuermann and Philip E. Strahan
Comment: Mark Carey, (p. 127-130)
Discussion summary, (p. 130-131)
4. Banking System Stability: A Cross-Atlantic Perspective, (p. 133-188)
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
Comment: Anthony Saunders, (p. 188-192)
5. Bank Concentration and Fragility: Impact and Mechanics, (p. 193-231)
Thorsten Beck, Asli Demirgüç-Kunt and Ross Levine
Comment: René M. Stulz, (p. 231-234)
6. Systemic Risk and Hedge Funds, (p. 235-330)
Nicholas Chan, Mila Getmansky, Shane M. Haas and Andrew W. Lo
Comment: David M. Modest, (p. 330-337)
Discussion summary, (p. 337-338)
III. Regulation
7. Systemic Risk and Regulation, (p. 341-368)
Franklin Allen and Douglas Gale
Comment: Charles W. Calomiris, (p. 368-374)
Discussion summary, (p. 374-375)
8. Pillar 1 versus Pillar 2 under Risk Management, (p. 377-409)
Loriana Pelizzon and Stephen Schaefer
Comment: Marc Saidenberg, (p. 409-413)
Discussion summary, (p. 414-415)
IV. New Frontiers in Risk Measurement
9. Global Business Cycles and Credit Risk, (p. 419-469)
M. Hashem Pesaran, Til Schuermann and Björn-Jakob Treutler
Comment: Richard Cantor, (p. 470-473)
Discussion summary, (p. 473)
10. Implications of Alternative Operational Risk Modeling Techniques, (p. 475-505)
Patrick de Fontnouvelle, Eric S. Rosengren and John S. Jordan
Comment: Andrew Kuritzkes, (p. 505-511)
Discussion summary, (p. 511)
11. Practical Volatility and Correlation Modeling for Financial Market Risk Management, (p. 513-544)
Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen and Francis X. Diebold
Comment: Pedro Santa-Clara, (p. 544-547)
Discussion summary, (p. 548)
12. Special Purpose Vehicles and Securitization, (p. 549- 597)
Gary B. Gorton ad Nicholas S. Souleles
Comment: Peter Tufano, (p. 597-602)
Discussion summary, (p. 602)
13. Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations, (p. 603-631)
Günter Franke and Jan Pieter Krahnen
Comment: Patricia Jackson, (p. 631-633)
Discussion summary, (p. 633)