Systemic Risk and the Great Depression
We employ a unique hand-collected dataset and a novel methodology to examine systemic risk before and after the largest U.S. banking crisis of the 20th century. Our systemic risk measure [...]
Bank Profitability and Financial Stability
We analyze how bank profitability impacts financial stability from both theoretical and empirical perspectives. We first develop a theoretical model of the relationship between bank profitability and financial stability by [...]
JPMorgan Chase London Whale G: Hedging versus Proprietary Trading
In December 2013, the primary United States financial regulatory agencies jointly adopted final rules to implement Section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act, which is [...]
Good for One, Bad for All: Determinants of Individual Versus Systemic Risk
We analyze a sample of large international banks in major advanced economies and examine the impact that bank-specific factors have on an institution's solvency risk and its contribution to systemic [...]
Comprehensive Capital Analysis and Review 2018: Assessment Framework and Results
In the supervisory post-stress capital assessment, the Federal Reserve estimates that the aggregate common equity tier 1 ratio for the firms participating in CCAR 2018 would decline in the severely [...]
Can parents protect their children? Risk comparison analysis between affiliates of multi- and single-bank holding companies
We find that multi-bank holding companies (MBHCs) in the U.S. have lower insolvency risk than single-bank holding companies (SBHCs) at the parent level, but have significantly higher insolvency risk than [...]
Bank Leverage, Welfare, and Regulation
We take issue with claims that the funding mix of banks, which makes them fragile and crisis-prone, is efficient because it reflects special liquidity benefits of bank debt. Even aside [...]
Credit Supply and Housing Speculation
Credit supply expansion fuels housing speculation, generating a boom and bust in house prices. U.S. zip codes more exposed to the 2003 acceleration of the private label mortgage securitization (PLS) [...]
Are CoCo Bonds a Good Substitute for Equity? Evidence from European Banks
Following the 2008-9 financial crisis, large banks increasingly issued contingent convertible bonds (CoCo bonds) to increase their capital buffers – a policy supported by national bank regulators. This paper examines [...]
A Macroeconomic Framework for Quantifying Systemic Risk
Systemic risk arises when shocks lead to states where a disruption in financial intermediation adversely affects the economy and feeds back into further disrupting financial intermediation. We present a macroeconomic [...]