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Keywords:risk management OR Risk management OR Risk Management 

Working Paper
Market discipline in banking reconsidered: the roles of funding manager decisions and deposit insurance reform

We find that the risk-sensitivity of bank holding company subordinated debt spreads at issuance increased with regulatory reforms that were designed to reduce conjectural government guarantees, but declined somewhat with subsequent reforms that were aimed in part at reducing regulatory forbearance. In addition, we test and find evidence for a straightforward form of "market discipline:" The extent to which bond issuance penalizes relatively risky banks. Evidence for such discipline only appears in the periods after conjectural government guarantees were reduced.
Finance and Economics Discussion Series , Paper 2004-53

Guiding Principles for Financial Regulation; Panel Remarks at \"The Future of Global Finance: Populism, Technology, and Regulation\" Conference, Columbia University, New York, NY

At times, the regulatory framework that has arisen since the global financial crisis can seem like the game of fizzbin (appeared in the original Star Trek TV Show) ? very complicated, seemingly without rationale, and constantly changing. In such an environment, sometimes it helps to take a step back and focus on some underlying principles that should serve as a foundation for any financial regulatory framework, and that can help guide any potential changes to strengthen the framework and promote cross-country harmonization.
Speech , Paper 87

Working Paper
Evaluating \"correlation breakdowns\" during periods of market volatility

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
Value-at-risk techniques: an empirical study


Conference Paper
Dynamic micro and macro stress simulation


Conference Paper
Integration of credit risk with market risk in asset liability management


Conference Paper
Growth or glamour? fundamentals and systemic risk in stock returns


Conference Paper
Risk measurement and systemic risk - opening remarks




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