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Understanding Bank Risk through Market Measures

Listed author(s):
  • Natasha Sarin
  • Lawrence H. Summers

No abstract is available for this item.

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File URL: https://www.brookings.edu/wp-content/uploads/2017/02/sarintextfall16bpea.pdf
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Article provided by Economic Studies Program, The Brookings Institution in its journal Brookings Papers on Economic Activity.

Volume (Year): 47 (2016)
Issue (Month): 2 (Fall) ()
Pages: 57-127

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Handle: RePEc:bin:bpeajo:v:47:y:2016:i:2016-01:p:57-127
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  1. Calomiris, Charles W. & Nissim, Doron, 2014. "Crisis-related shifts in the market valuation of banking activities," Journal of Financial Intermediation, Elsevier, vol. 23(3), pages 400-435.
  2. Cao, Charles & Yu, Fan & Zhong, Zhaodong, 2010. "The information content of option-implied volatility for credit default swap valuation," Journal of Financial Markets, Elsevier, vol. 13(3), pages 321-343, August.
  3. Anat Admati & Martin Hellwig, 2013. "The Bankers' New Clothes: What's Wrong with Banking and What to Do about It," Economics Books, Princeton University Press, edition 1, number 9929.
  4. Jeremy Bulow & Paul Klemperer, 2013. "Market-Based Bank Capital Regulation," Economics Papers 2013-W12, Economics Group, Nuffield College, University of Oxford.
  5. Lo, Andrew W. & MacKinlay, A. Craig, 1989. "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 40(2), pages 203-238, February.
  6. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-1153, December.
  7. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
  8. Robert J. Barro & Gordon Y. Liao, 2016. "Options-Pricing Formula with Disaster Risk," NBER Working Papers 21888, National Bureau of Economic Research, Inc.
  9. Erkens, David H. & Hung, Mingyi & Matos, Pedro, 2012. "Corporate governance in the 2007–2008 financial crisis: Evidence from financial institutions worldwide," Journal of Corporate Finance, Elsevier, vol. 18(2), pages 389-411.
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