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Regulatory evaluation of value-at-risk models
Lopez, Jose A. (1997)
Beginning in 1998, commercial banks may determine their regulatory capital requirements for market risk exposure using value-at-risk (VaR) models; i.e., time-series models of the distributions of portfolio returns. Currently, regulators have available three statistical methods for evaluating the accuracy of VaR models: the binomial method, the interval forecast method, and the distribution forecast method. These methods test whether the VaR forecasts in question exhibit properties characteristics of accurate VaR forecasts. However, the statistical tests can have low power against alternative ...
Research Paper , Paper 9710

Working Paper
Measuring the performance of banks: theory, practice, evidence, and some policy implications
Mester, Loretta J.; Hughes, Joseph P. (2013)
The unique capital structure of commercial banking ? funding production with demandable debt that participates in the economy?s payments system ? affects various aspects of banking. It shapes banks? comparative advantage in providing financial products and services to informationally opaque customers, their ability to diversify credit and liquidity risk, and how they are regulated, including the need to obtain a charter to operate and explicit and implicit federal guarantees of bank liabilities to reduce the probability of bank runs. These aspects of banking affect a bank?s choice of risk vs. ...
Working Papers , Paper 13-31

Working Paper
A model of crises in emerging markets
Dooley, Michael P. (1998)
This paper presents a "first generation" model of speculative attacks on emerging markets. Credit-constrained governments accumulate liquid assets in order to self-insure against shocks to national consumption. Governments also insure poorly regulated domestic financial markets. Given this policy regime, a variety of internal and external shocks generate capital inflows followed by anticipated speculative attacks. The model suggests that a common shock generated capital inflows to emerging markets in Asia and Latin America after 1989. Country-specific factors determined the timing of ...
International Finance Discussion Papers , Paper 630

Working Paper
An experimental examination of the house money effect in a multi-period setting
Charupat, Narat; Tompkins, James; Church, Bryan K.; Deaves, Richard; Ackert, Lucy F. (2003)
There is evidence that risk-taking behavior is influenced by prior monetary gains and losses. When endowed with house money, people become more risk taking. This paper is the first to report a house money effect in a dynamic, financial setting. Using an experimental method, the authors compare market outcomes across sessions that differ in the level of cash endowment (low and high). Their experimental results provide strong support for a house money effect. Traders' bids, price predictions, and market prices are influenced by the amount of money that is provided prior to trading. However, ...
FRB Atlanta Working Paper , Paper 2003-13

Working Paper
Realized jumps on financial markets and predicting credit spreads
Zhou, Hao; Tauchen, George (2006)
This paper extends the jump detection method based on bi-power variation to identify realized jumps on financial markets and to estimate parametrically the jump intensity, mean, and variance. Finite sample evidence suggests that jump parameters can be accurately estimated and that the statistical inferences can be reliable, assuming that jumps are rare and large. Applications to equity market, treasury bond, and exchange rate reveal important differences in jump frequencies and volatilities across asset classes over time. For investment grade bond spread indices, the estimated jump volatility ...
Finance and Economics Discussion Series , Paper 2006-35

Conference Paper
The role of subordinated debt in bank safety and soundness regulation
Wall, Larry D.; Evanoff, Douglas D. (2000)
Proceedings , Paper 673

Conference Paper
Reforming bank capital requirements: a rating agency perspective
Fons, Jerome S. (2000)
Proceedings , Paper 671

Journal Article
Current topics: credit risk outlook for 2013 ; municipal bond credit risk management;Bank Secrecy Act/anti-money laundering & office of financial assets control violations
anonymous (2012-10)
The Federal Reserve Bank of Chicago's supervision group follows current and emerging risk trends on an on-going basis. This Risk Perspectives newsletter is designed to highlight a few current risk topics and some potential risk topics on the horizon for the Seventh District and its supervised financial institutions. The newsletter is not intended as an exhaustive list of the current or potential risk topics and should not be relied upon as such. We encourage each of our supervised financial institutions to remain informed about current and potential risks to its institution.
Risk Perspectives , Issue 4th Q

Journal Article
Risk management activity on the rise
anonymous (1998-04)
Economics Update , Issue Apr , Pages 5

Working Paper
The exchange rate exposure of U.S. and Japanese banking institutions
Chamberlain, Sandra; Popper, Helen; Howe, John S. (1995)
In this paper, we examine the foreign exchange exposure of a sample of U.S. and Japanese banking firms. Using daily data, we construct estimates of the exchange rate sensitivity of the equity returns of the U.S. bank holding companies and compare them to those of a sample of Japanese banks. We find that the stock returns of a significant fraction of the U.S. companies move with the exchange rate, while few of the Japanese returns that we observe do so. We next examine more closely the sensitivity of the U.S. firms by linking the U.S. estimates cross-sectionally to accounting-based ...
Pacific Basin Working Paper Series , Paper 95-11

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