The Risks of Financial Institutions


The Risks of Financial Institutions
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)