2006－The Risks of Financial Institutions

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2006－The Risks of Financial Institutions

Edited by Mark Carey and
René M. Stulz

Mark Carey is finance project manager in the Division of International Finance at the Federal Reserve Board and codirector of the National Bureau of Economic Research (NBER) Working Group on Risks of Financial Institutions. René M. Stulz is the Everett D. Reese Chair of Banking and Monetary Economics at Ohio State University, codirector of the NBER Working Group on Risks of Financial Institutions, and a research associate of the NBER.

The University of Chicago Press, Chicago 60637
The University of Chicago Press, Ltd., London
© 2006 by the National Bureau of Economic Research
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Introduction 1
Mark Carey and René M. Stulz
I. Market Risk, Risk Modeling,
and Financial System Stability
1. Bank Trading Risk and Systemic Risk
29
Philippe Jorion
2. Estimating Bank Trading Risk: A Factor
Model
Approach 59
James O’Brien and Jeremy Berkowitz
Comments on
chapters 1 and 2:
Kenneth C. Abbott
Paul Kupiec
Discussion
Summary
II. Systemic Risk
3. How Do Banks Manage Liquidity
Risk?
Evidence from the Equity and Deposit Markets
in the Fall of 1998
105
Evan Gatev, Til Schuermann, and
Philip E. Strahan
Comment: Mark
Carey
Discussion Summary
4. Banking System Stability:
A Cross-Atlantic
Perspective 133
Philipp Hartmann, Stefan Straetmans, and
Casper G. de
Vries
Comment: Anthony Saunders
Discussion Summary
5. Bank
Concentration and Fragility:
Impact and Mechanics 193
Thorsten Beck, Asli
Demirgüç-Kunt, and
Ross Levine
Comment: René M. Stulz
Discussion
Summary
6. Systemic Risk and Hedge Funds 235
Nicholas Chan, Mila
Getmansky,
Shane M. Haas, and Andrew W. Lo
Comment: David M.
Modest
Discussion Summary
III. Regulation
7. Systemic Risk and
Regulation 341
Franklin Allen and Douglas Gale
Comment: Charles W.
Calomiris
Discussion Summary
8. Pillar 1 versus Pillar 2 under Risk
Management 377
Loriana Pelizzon and Stephen Schaefer
Comment: Marc
Saidenberg
Discussion Summary
IV. New Frontiers in Risk Measurement
9.
Global Business Cycles and Credit Risk 419
M. Hashem Pesaran, Til Schuermann,
and
Björn-Jakob Treutler
Comment: Richard Cantor
Discussion
Summary
10. Implications of Alternative Operational Risk
Modeling
Techniques 475
Patrick de Fontnouvelle, Eric S. Rosengren,
and John S.
Jordan
Comment: Andrew Kuritzkes
Discussion Summary
viii
Contents
11. Practical Volatility and Correlation Modeling
for Financial
Market Risk Management 513
Torben G. Andersen, Tim Bollerslev,
Peter F.
Christoffersen, and Francis X. Diebold
Comment: Pedro
Santa-Clara
Discussion Summary
12. Special Purpose Vehicles and
Securitization 549
Gary B. Gorton and Nicholas S. Souleles
Comment: Peter
Tufano
Discussion Summary
13. Default Risk Sharing between Banks
and
Markets: The Contribution of Collateralized
Debt Obligations
603
Günter Franke and Jan Pieter Krahnen
Comment: Patricia
Jackson
Discussion Summary
Biographies 635
Contributors 639
Author
Index 643
Subject Index 651

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关键词：Institutions Institution financial inancial Financia financial Risks Institutions

The Risks of Financial Institutions

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