Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees

Bryan T. Kelly, Hanno Lustig, Stijn Van Nieuwerburgh

NBER Working Paper No. 17149
Issued in June 2011

---- Acknowledgements -----

We thank Mikhail Chernov, Peter Christoffersen, John Cochrane, George Constantinides, Itamar Drechsler, Darrell Duffie, Ralph Koijen, Marc Martos-Vila, Pascal Maenhout, Ian Martin, Richard Roll, Stephen Ross, and seminar participants at Chicago Booth, the University of Southern California, the University of California at Los Angeles, the University of Toronto, the University of Utah, the Federal Reserve Bank of San Francisco and the Stanford University economics and finance departments for comments and suggestions. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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