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The pitfalls in inferring risk from financial market data

Bliss, Robert R. (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001658371

McDonald, Robert; Paulson, Anna L. - Federal Reserve Bank of Chicago - 2014

The near-failure on September 16, 2008, of American International Group (AIG) was an iconic moment in the financial crisis. The decision to rescue AIG was controversial at the time and remains so. Large bets on real estate pushed AIG to the brink of bankruptcy. In one case, AIG used securities...

Persistent link: https://www.econbiz.de/10011093787

A note of the relationship between bank holding company risk and nonbank activity

Elijah Brewer, III - Federal Reserve Bank of Chicago - 1988

Persistent link: https://www.econbiz.de/10005514991

Bank capital standards for market risk: a welfare analysis

Marshall, David; Venkataraman, Subu - Federal Reserve Bank of Chicago - 1997

We develop a model of commodity money and use it to analyze the following two questions motivated by issues in monetary history: What are the conditions under which Gresham's Law holds? And, what are the mechanics of a debasement (lowering the metallic content of coins)? The model contains light...

Persistent link: https://www.econbiz.de/10005519571

Sub-debt yield spreads as bank risk measures

Evanoff, Douglas D.; Wall, Larry D. - Federal Reserve Bank of Chicago - 2001

Several recent studies have recommended greater reliance on subordinated debt as a tool to discipline bank risk taking …

Persistent link: https://www.econbiz.de/10005420014

The implications of first-order risk aversion for asset market risk premiums

Bekaert, Geert; Hodrick, Robert J.; Marshall, David A. - Federal Reserve Bank of Chicago - 1994

Persistent link: https://www.econbiz.de/10005410921

Bank failures, systemic risk, and bank regulation

Kaufman, George G. - Federal Reserve Bank of Chicago - 1996

Persistent link: https://www.econbiz.de/10005414707

The equity premium puzzle and the risk-free rate puzzle at long horizons

Daniel, Kent; Marshall, David - Federal Reserve Bank of Chicago - 1996

risk-free rate has been attributed by some authors to frictions, transaction costs or durability. However, such frictions … risk-free rate. We find that time-separable preferences fail at all horizons, and none of the models perform well at the … more success matching the first and second moments of the observed risk-free rate. A major unresolved issue is to …

Persistent link: https://www.econbiz.de/10005414715

Federal Reserve Bank of Chicago panel: policy recommendations for controlling risk

Theobald, Thomas C. - Federal Reserve Bank of Chicago - 1989

Persistent link: https://www.econbiz.de/10010724122

Evidence on the objective of bank regulators

DeYoung, Robert; Hughes, Joseph P.; Moon, Choon-Geol - Federal Reserve Bank of Chicago - 1997

Persistent link: https://www.econbiz.de/10010724137