Houston, Joel F. (contributor); Stiroh, Kevin J. (contributor) - 2006
-cost financial crisis (“tail
risk”).
This paper studies the evolution of risk within the U.S. financial sector. We focus on … more significant financial crisis, i.e., the tail event described
by Rajan (2005). While such a scenario is not likely in … useful in measuring the type of high-severity, low-probability
“tail event” discussed by Rajan (2005). Nonetheless, our …