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Journal Article
Have we only just begun? challenges in implementing the Gramm-Leach-Bliley regime
Feldman, Ron J.; Lyon, James M.; Willardson, Niel D. (2000-03)
The Region , Volume 14 , Issue Mar , Pages 1-13, 54-55

Journal Article
Robust capital regulation
Schuermann, Til; Mehran, Hamid; Acharya, Viral V.; Thakor, Anjan V. (2012-05)
Regulators and markets can find the balance sheets of large financial institutions difficult to penetrate, and they are mindful of how undercapitalization can create incentives to take on excessive risk. This study proposes a novel framework for capital regulation that addresses banks' incentives to take on excessive risk and leverage. The framework consists of a special capital account in addition to a core capital requirement. The special account would accrue to a bank's shareholders as long as the bank is solvent, but would pass to the bank's regulators?rather than its creditors?if the ...
Current Issues in Economics and Finance , Volume 18 , Issue May

Journal Article
U.S. supervisory standards for operational risk management
Lopez, Jose A. (2007)
The U.S. bank supervisory agencies recently issued for public comment revised guidance regarding the implementation of the proposed Basel II-related, risk-based capital requirements. Among the revisions is an important update to guidance regarding operational risk management. Operational risk generally refers to the risk of monetary losses resulting from inadequate or failed internal processes, people, and systems, or from external events, such as natural disasters. ; For other dimensions of risk, such as credit and market risk, the Basel II framework includes considerable detail on using ...
FRBSF Economic Letter

Conference Paper
Remarks
Brunner, David (1995)
Proceedings

Working Paper
On the network topology of variance decompositions: Measuring the connectedness of financial firms
Yilmaz, Kamil; Diebold, Francis X. (2011)
The authors propose several connectedness measures built from pieces of variance decompositions, and they argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. The authors also show that variance decompositions define weighted, directed networks, so that their connectedness measures are intimately-related to key measures of connectedness used in the network literature. Building on these insights, the authors track both average and daily time-varying connectedness of major U.S. financial institutions' stock return volatilities ...
Working Papers , Paper 11-45

Conference Paper
Integration of credit risk with market risk in asset liability management
Tsunoda, Fumihiko; Okada, Shumpei; Harada, Eiji (1995)
Proceedings

Speech
Risk management in financial institutions: a speech at the Federal Reserve Bank of Chicago's Annual Conference on Bank Structure and Competition, Chicago, Illinois, May 15, 2008
Bernanke, Ben S. (2008)
Speech , Paper 400

Working Paper
A coherent framework for stress-testing
Berkowitz, Jeremy (1999)
In recent months and years both practitioners and regulators have embraced the ideal of supplementing VaR estimates with "stress-testing". Risk managers are beginning to place an emphasis and expend resources on developing more and better stress-tests. In the present paper, we hold the standard approach to stress-testing up to a critical light. The current practice is to stress-test outside the basic risk model. Such an approach yields two sets of forecasts -- one from the stress-tests and one from the basic model. The stress scenarios, conducted outside the model, are never explicitly ...
Finance and Economics Discussion Series , Paper 1999-29

Working Paper
The risk premium and long-run global imbalances
Chien, YiLi; Naknoi, Kanda (2012)
Our paper investigates whether the valuation effect caused by a large risk premium and a low risk-free rate can help to explain the enormous US current account and trade deficit observed in the past decade. To answer this question, we set up an endowment growth model in which investors are endowed with heterogeneous trading technologies. In our model, the average US investors load up more aggregate risk by investing in a risky asset abroad and issuing a risk-free asset. Thanks to the large risk premium as well as the low risk-free rate, the US can sustain a long-run trade deficit even as a ...
Working Papers , Paper 2012-009

Working Paper
\"Cream-skimming\" in subprime mortgage securitizations : which subprime mortgage loans were sold by depository institutions prior to the crisis of 2007?
Henderson, Christopher; Calem, Paul S.; Liles, Jonathan (2010)
Depository institutions may use information advantages along dimensions not observed or considered by outside parties to "cream-skim," meaning to transfer risk to naive, uninformed, or unconcerned investors through the sale or securitization process. This paper examines whether "cream-skimming" behavior was common practice in the subprime mortgage securitization market prior to its collapse in 2007. Using Home Mortgage Disclosure Act data merged with data on subprime loan delinquency by ZIP code, the authors examine the bank decision to sell (securitize) subprime mortgages originated in ...
Working Papers , Paper 10-8

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