Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as stock return based measures of the systemic risk created by individual financial institutions even though the literature provides no formal hypothesis test for detecting systemic risk. Our conclusion is...

The failure of the largest banks will not generally endanger the solvency of their parent bank holding companies (BHCs), preventing the secretary of the Treasury from using single point of entry (SPOE).

In a financial intermediary, risk managers can expend effort to reduce loan probability of default and loss given default, but effort is unobservable. Incentive compensation (IC) can induce manager effort. When deposit insurance is subsidized, the demand for risk management declines. Regulatory...

In this article, I illustrate three approaches for calculating loss distributions and value-at-risk capital requirements in credit portfolios with obligor concentrations risk.

In this working paper, Paul Kupiec develops an algorithm to approximate the loss rate distribution for fixed income portfolios with obligor concentrations.

Our data show that land prices were more volatile than house prices during the recent boom/bust cycle. In areas where land was inexpensive in 2000, the land share of property value jumped during the boom, and this rise in the land share was a useful predictor of the subsequent crash in house...

This paper proposes a measure of the distributional burden of servicing debt Using alternative assumptions about financing, we assess the distributional burden of the current level of government debt and the burden of future debt projected to accumulate under current law, current policy, and the...

Given the slow growth of labor productivity in recent years, some have argued that the boost from information technology may have run its course Our analysis points to a less pessimistic conclusion While projections of economic developments are always difficult, our judgment is that "No, the...

This paper examines policies to index Social Security taxes or benefits to changes in the ratio of workers to beneficiaries, allowing for auto-correction for changing demographic factors.