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The Risks of Financial Institutions

The Risks of Financial Institutions
Mark Carey and René M. Stulz, editors

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)