IDEAS home Printed from https://ideas.repec.org/a/bin/bpeajo/v47y2016i2016-02p57-127.html
   My bibliography  Save this article

Understanding Bank Risk through Market Measures

Author

Listed:
  • Natasha Sarin

    (Harvard University)

  • Lawrence H. Summers

    (Harvard University)

Abstract

No abstract is available for this item.

Suggested Citation

  • Natasha Sarin & Lawrence H. Summers, 2016. "Understanding Bank Risk through Market Measures," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 47(2 (Fall)), pages 57-127.
    • Handle: RePEc:bin:bpeajo:v:47:y:2016:i:2016-02:p:57-127
    as

    Download full text from publisher

    File URL: https://www.brookings.edu/wp-content/uploads/2017/02/sarintextfall16bpea.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Robert J. Barro & Gordon Y. Liao, 2016. "Options-Pricing Formula with Disaster Risk," NBER Working Papers 21888, National Bureau of Economic Research, Inc.
    2. Anat Admati & Martin Hellwig, 2013. "The Bankers' New Clothes: What's Wrong with Banking and What to Do about It," Economics Books, Princeton University Press, edition 1, volume 1, number 9929.
    3. Jeremy Bulow & Paul Klemperer, 2013. "Market-Based Bank Capital Regulation," Economics Papers 2013-W12, Economics Group, Nuffield College, University of Oxford.
    4. Lo, Andrew W. & MacKinlay, A. Craig, 1989. "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 40(2), pages 203-238, February.
    5. Calomiris, Charles W. & Nissim, Doron, 2014. "Crisis-related shifts in the market valuation of banking activities," Journal of Financial Intermediation, Elsevier, vol. 23(3), pages 400-435.
    6. Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz, 2012. "This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance during the Recent Financial Crisis," Journal of Finance, American Finance Association, vol. 67(6), pages 2139-2185, December.
    7. Erkens, David H. & Hung, Mingyi & Matos, Pedro, 2012. "Corporate governance in the 2007–2008 financial crisis: Evidence from financial institutions worldwide," Journal of Corporate Finance, Elsevier, vol. 18(2), pages 389-411.
    8. Raghuram G. Rajan, 2005. "Has financial development made the world riskier?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, issue Aug, pages 313-369.
    9. Cao, Charles & Yu, Fan & Zhong, Zhaodong, 2010. "The information content of option-implied volatility for credit default swap valuation," Journal of Financial Markets, Elsevier, vol. 13(3), pages 321-343, August.
    10. repec:bla:jfinan:v:44:y:1989:i:5:p:1115-53 is not listed on IDEAS
    11. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
    12. Acharya, Viral V. & Steffen, Sascha, 2014. "Falling short of expectations? Stress-testing the European banking system," CEPS Papers 8803, Centre for European Policy Studies.
    13. John Vickers, 2016. "The Systemic Risk Buffer for UK Banks: A Response to the Bank of England’s Consultation Paper," Journal of Financial Regulation, Oxford University Press, vol. 2(2), pages 264-282.
    14. Malcolm Baker & Jeffrey Wurgler, 2015. "Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly," American Economic Review, American Economic Association, vol. 105(5), pages 315-320, May.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Natasha Sarin & Lawrence H. Summers, 2016. "Understanding Bank Risk through Market Measures," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 47(2 (Fall)), pages 57-127.
    2. Ozlem Akin & José M Marín & José-Luis Peydró, 2020. "Anticipating the financial crisis: evidence from insider trading in banks," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 35(102), pages 213-267.
    3. Belkhir, Mohamed & Ben Naceur, Sami & Chami, Ralph & Samet, Anis, 2021. "Bank capital and the cost of equity," Journal of Financial Stability, Elsevier, vol. 53(C).
    4. Marisa Basten & Antonio Sánchez Serrano, 2019. "European banks after the global financial crisis: a new landscape," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(1), pages 51-73, March.
    5. De Jonghe, Olivier & Dewachter, Hans & Ongena, Steven, 2020. "Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions," Journal of Corporate Finance, Elsevier, vol. 60(C).
    6. Anjan V. Thakor, 2015. "The Financial Crisis of 2007–2009: Why Did It Happen and What Did We Learn?," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 4(2), pages 155-205.
    7. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
    8. Catarina Fernandes & Jorge Farinha & Francisco Vitorino Martins & Cesario Mateus, 2017. "Supervisory boards, financial crisis and bank performance: do board characteristics matter?," Journal of Banking Regulation, Palgrave Macmillan, vol. 18(4), pages 310-337, November.
    9. Jorg Bibow, 2015. "The Euro's Savior? Assessing the ECB's Crisis Management Performance and Potential for Crisis Resolution," Economics Working Paper Archive wp_845, Levy Economics Institute.
    10. De Jonghe, Olivier & Diepstraten, Maaike & Schepens, Glenn, 2015. "Banks’ size, scope and systemic risk: What role for conflicts of interest?," Journal of Banking & Finance, Elsevier, vol. 61(S1), pages 3-13.
    11. Gehrig, Thomas & Iannino, Maria Chiara, 2021. "Did the Basel Process of capital regulation enhance the resiliency of European banks?," Journal of Financial Stability, Elsevier, vol. 55(C).
    12. Bonczek, Thomas & Fuest, Clemens & Schröder, Michael, 2014. "Who is afraid of the Asset Quality Review? Potential losses and capital shortfalls in the European banking system," Frankfurt School - Working Paper Series 213, Frankfurt School of Finance and Management.
    13. Mark Egan & Stefan Lewellen & Adi Sunderam, 2017. "The Cross Section of Bank Value," NBER Working Papers 23291, National Bureau of Economic Research, Inc.
    14. repec:zbw:bofrdp:2014_002 is not listed on IDEAS
    15. Chen, Hongtao & Liu, Li & Li, Xiaolei, 2018. "The predictive content of CBOE crude oil volatility index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 837-850.
    16. Koch, Christoffer & Okamura, Ken, 2019. "Why does the FDIC sue?," Journal of Corporate Finance, Elsevier, vol. 59(C), pages 255-275.
    17. Andrew G. Atkeson & Adrien d’Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2019. "Government Guarantees and the Valuation of American Banks," NBER Macroeconomics Annual, University of Chicago Press, vol. 33(1), pages 81-145.
    18. Igan, Deniz & Mirzaei, Ali & Moore, Tomoe, 2023. "Does macroprudential policy alleviate the adverse impact of COVID-19 on the resilience of banks?," Journal of Banking & Finance, Elsevier, vol. 147(C).
    19. Pathan, Shams & Haq, Mamiza & Faff, Robert & Seymour, Trent, 2021. "Institutional investor horizon and bank risk-taking," Journal of Corporate Finance, Elsevier, vol. 66(C).
    20. Jokivuolle, Esa & Keppo, Jussi, 2014. "Bankers' compensation: Sprint swimming in short bonus pools?," Bank of Finland Research Discussion Papers 2/2014, Bank of Finland.
    21. Adhikari, Binay Kumar & Agrawal, Anup, 2016. "Does local religiosity matter for bank risk-taking?," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 272-293.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bin:bpeajo:v:47:y:2016:i:2016-02:p:57-127. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Haowen Chen (email available below). General contact details of provider: https://edirc.repec.org/data/esbrous.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.