We exploit the information content of option prices to construct a novel measure of bank tail-risk. We document a persistent increase in tail-risk for the U.S. banking industry following the global financial crisis, except for banks designated as systemically important by the Dodd-Frank Act. We...

Although the United States has not established a much-needed and increasingly discussed national catastrophe policy, most significant points in current risk management strategies involve significant federal coordination and control. The authors suggest that a regulatory model that defers to the...