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Journal Article
The gains from international risk-sharing

The author examines the data on just how much risk-sharing currently takes place in both developed and developing countries. He also considers the question of whether significant unexploited gains from risk-sharing exist across borders.
Business Review , Issue Q3 , Pages 23-32

Three decades of financial sector risk

This paper examines the evolution of risk in the U.S. financial sector using firm-level equity market data from 1975 to 2005. Over this period, financial sector volatility has steadily increased, reaching extraordinary levels from 1998 to 2002. Much of this recent turbulence can be attributed to a series of major financial shocks, and we find evidence of an upward trend in volatility only for the common component that affects the entire financial sector. While idiosyncratic volatility remains dominant, a combination of common shocks, deregulation, and diversification has reduced its relative ...
Staff Reports , Paper 248

Journal Article
Bank capital exposure to government-sponsored-enterprise debt

Financial Update , Volume 14 , Issue Jul , Pages 1-3

Conference Paper
Credit-lines for new instruments: swaps. over-the-counter options, forwards and floor-ceiling agreements

Proceedings , Paper 121

Working Paper
Measuring systemic risk

We present a simple model of systemic risk and show how each financial institution?s contribution to systemic risk can be measured and priced. An institution?s contribution, denoted systemic expected shortfall (SES), is its propensity to be undercapitalized when the system as a whole is undercapitalized, which increases in its leverage, volatility, correlation, and tail-dependence. Institutions internalize their externality if they are ?taxed? based on their SES. Through several examples, we demonstrate empirically the ability of components of SES to predict emerging systemic risk during the ...
Working Papers (Old Series) , Paper 1002

Journal Article
Measuring interest rate risk for mortgage-related assets

FRBSF Economic Letter

Working Paper
Bank equity values, bank risk, and the implied market value of banks' assets, liabilities, and deposit insurance

Finance and Economics Discussion Series , Paper 98

Conference Paper
The effect of bank risk on the price and availability of uninsured deposits

Proceedings , Paper 102

Conference Paper
What caused the recent increase in bankruptcy and delinquency: stigma or risk-composition?

Proceedings , Paper 649

Journal Article
The false hope of the narrow bank

FRBSF Economic Letter



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anonymous 46 items

Furlong, Frederick T. 17 items

Lopez, Jose A. 14 items

Berger, Allen N. 12 items

Keeley, Michael C. 12 items

O'Brien, James M. 12 items

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