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Report
Bond market discipline of banks: is the market tough enough?
Morgan, Donald P.; Stiroh, Kevin J. (1999-12-01)
As the banking business grows more complex, government supervisors of banks seem increasingly willing to share the role of policing bank risk with private investors, especially bondholders. This paper investigates the disciplinary role of markets using bond spreads, ratings, and bank portfolio data on over 4,100 new bonds issued between 1993 and 1998, including almost 600 bond issues by banks and bank holding companies. We find that the bond spread/rating relationship is the same for the bank issues as for nonbank issues, especially among the investment grade issues. This suggests that the ...
Staff Reports , Paper 95

Journal Article
Issuance by the Basel Committee of papers providing guidance on credit risk in banking
anonymous (1999-09)
Federal Reserve Bulletin , Issue Sep

Conference Paper
Risk management in financial institutions
Bernanke, Ben S. (2008)
Proceedings , Paper 1070

Conference Paper
Capital allocation for operational risk: welcome remarks to a conference held November 14-16, 2001 at the Federal Reserve Bank of Boston
Minehan, Cathy E. (2001)
The conference provided a comprehensive understanding of current and evolving best practices in identifying, measuring, and modeling operational risk and in managing and mitigating this risk through capital allocation, insurance, and other existing and potential risk management tools. The conference presented the perspectives of practitioners in the banking, securities, and insurance industries, as well as supervisors and academic specializing in these sectors. The conference also identified and discussed possible solutions to barriers that may be impeding the development of new approaches.
Conference Series ; [Proceedings]

Conference Paper
Procyclicality and the New Basel Accord: banks' choice of loan rating system
Jackson, Patricia; Tsomocos, Dimitrios P.; Catarineu-Rabell, Eva (2002)
The Basel Committee on Banking Supervision is proposing to introduce, in 2005, new risk-based requirements for internationally active (and other significant) banks. These will replace the relatively risk-invariant requirements in the current Accord. This article examines the implications of these new risk-based requirements for procyclicality, in particular whether the choice of particular loan rating system by the banks would significantly increase the likelihood of sharp increases in capital requirements in recessions, creating the potential for classic credit crunches. The paper finds that ...
Conference Series ; [Proceedings]

Speech
Strategic risk management in an interconnected world: a speech at the Risk Management Association Annual Risk Management Conference, Baltimore, Maryland, October 20, 2008
Kroszner, Randall S. (2008)
Speech , Paper 428

Working Paper
Evaluating \"correlation breakdowns\" during periods of market volatility
Loretan, Mico; English, William B. (2000)
Financial market observers have noted that during periods of high market volatility, correlations between asset prices can differ substantially from those seen in quieter markets. For example, correlations among yield spreads were substantially higher during the fall of 1998 than in earlier or later periods. Such differences in correlations have been attributed either to structural breaks in the underlying distribution of returns or to "contagion" across markets that occurs only during periods of market turbulence. However, we argue that the differences may reflect nothing more than ...
International Finance Discussion Papers , Paper 658

Conference Paper
Using capital market securities as operational risk mitigants
Wildermuth, David (2001)
Conference Series ; [Proceedings]

Working Paper
Specification analysis of structural credit risk models
Zhou, Hao; Huang, Jing-zhi (2008)
In this paper we conduct a specification analysis of structural credit risk models, using term structure of credit default swap (CDS) spreads and equity volatility from high-frequency return data. Our study provides consistent econometric estimation of the pricing model parameters and specification tests based on the joint behavior of time-series asset dynamics and cross-sectional pricing errors. Our empirical tests reject strongly the standard Merton (1974) model, the Black and Cox (1976) barrier model, and the Longstaff and Schwartz (1995) model with stochastic interest rates. The double ...
Finance and Economics Discussion Series , Paper 2008-55

Working Paper
Spectral backtests unbounded and folded
Gordy, Michael B.; McNeil, Alexander J. (2024-08-02)
In the spectral backtesting framework of Gordy and McNeil (JBF, 2020) a probability measure on the unit interval is used to weight the quantiles of greatest interest in the validation of forecast models using probability-integral transform (PIT) data. We extend this framework to allow general Lebesgue-Stieltjes kernel measures with unbounded distribution functions, which brings powerful new tests based on truncated location-scale families into the spectral class. Moreover, by considering uniform distribution preserving transformations of PIT values the test framework is generalized to allow ...
Finance and Economics Discussion Series , Paper 2024-060

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