NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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The Risks of Financial Institutions

Mark Carey and René M. Stulz, editors

Conference held October 22-23, 2004
Published in January 2007 by University of Chicago Press
© 2006 by the National Bureau of Economic Research

NBER Program(s):CF, AP

More information on purchasing this book
655 pages
ISBN: 0-226-09285-2

Table of Contents

Front matter: Mark Carey, Rene M. Stulz (p. -13 - 0) (bibliographic info) (download)
Introduction: Mark Carey, Rene M. Stulz (p. 1 - 26) (bibliographic info) (download) (Working Paper version)
1. I. Market Risk, Risk Modeling, and Financial System Stability: (p. 27 - 28) (bibliographic info) (download)
2. Bank Trading Risk and Systemic Risk: Philippe Jorion (p. 29 - 58) (bibliographic info) (download) (Working Paper version)
3. Estimating Bank Trading Risk. A Factor Model Approach: James M. O'Brien, Jeremy Berkowitz (p. 59 - 102) (bibliographic info) (download) (Working Paper version)
4. II. Systemic Risk: (p. 103 - 104) (bibliographic info) (download)
5. How Do Banks Manage Liquidity Risk? Evidence from the Equity and Deposit Markets in the Fall of 1998 : Evan Gatev, Til Schuermann, Philip Strahan (p. 105 - 132) (bibliographic info) (download) (Working Paper version)
6. Banking System Stability. A Cross-Atlantic Perspective: Philipp Hartmann, Stefan Straetmans, Casper de Vries (p. 133 - 192) (bibliographic info) (download) (Working Paper version)
7. Bank Concentration and Fragility. Impact and Mechanics: Thorsten Beck (p. 193 - 234) (bibliographic info) (download) (Working Paper version)
8. Systemic Risk and Hedge Funds: Nicholas Chan, Mila Getmansky, Shane M. Haas, Andrew W. Lo (p. 235 - 338) (bibliographic info) (download) (Working Paper version)
9. III. Regulation: (p. 339 - 340) (bibliographic info) (download)
10. Systemic Risk and Regulation: Franklin Allen, Douglas Gale (p. 341 - 376) (bibliographic info) (download)
11. Pillar 1 versus Pillar 2 under Risk Management: Loriana Pelizzon, Stephen Schaefer (p. 377 - 416) (bibliographic info) (download)
12. IV New Frontiers in Risk Measurement: (p. 417 - 418) (bibliographic info) (download)
13. Global Business Cycles and Credit Risk: M. Hashem Pesaran, Til Schuermann, Bjorn-Jakob Treutler (p. 419 - 474) (bibliographic info) (download) (Working Paper version)
14. Implications of Alternative Operational Risk Modeling Techniques: Patrick de Fontnouvelle, Eric Rosengren, John Jordan (p. 475 - 512) (bibliographic info) (download) (Working Paper version)
15. Practical Volatility and Correlation Modeling for Financial Market Risk Management : Torben G. Andersen, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold (p. 513 - 548) (bibliographic info) (download) (Working Paper version)
16. Special Purpose Vehicles and Securitization: Gary B. Gorton, Nicholas S. Souleles (p. 549 - 602) (bibliographic info) (download) (Working Paper version)
17. Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations : Gunter Franke, Jan Pieter Krahnen (p. 603 - 634) (bibliographic info) (download) (Working Paper version)
18. Biographies: (p. 635 - 638) (bibliographic info) (download)
19. Contributors: (p. 639 - 642) (bibliographic info) (download)
20. Author Index: (p. 643 - 650) (bibliographic info) (download)
21. Subject Index: (p. 651 - 655) (bibliographic info) (download)
 
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