Alfred Lehar

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In this paper we suggest a new approach to risk assessment for banks. Rather than looking at them individually we analyze risk at the level of the banking system. Such a perspective is necessary because the complicated network of mutual credit obligations can make the actual risk exposure of the entire system invisible at the level of individual(More)
This paper proposes a new method to measure and monitor the risk in a banking system. Standard tools that regulators require banks to use for their internal risk management are applied at the level of the banking system to measure the risk of a regulator’s portfolio. Using a sample of international banks from 1988 until 2002, I estimate the dynamics and(More)
In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank’s contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks. We explicitly take into(More)
Robust (cross-border) interbank markets are important for the proper functioning of modern financial systems. However, a network of interbank exposures may lead to domino effects following the event of an initial bank failure. We investigate the evolution and determinants of contagion risk for the Belgian banking system over the period 1993–2002 using(More)
This paper examines the out-of-sample performance of two common extensions of the Black-Scholes framework, namely a GARCH and a stochastic volatility option pricing model. The models are calibrated to intraday FTSE 100 option prices. We apply two sets of performance criteria, namely out-of-sample valuation errors and Value-at-Risk oriented measures. When we(More)
Existing regulatory capital requirements are often criticized for being only loosely linked to the economic risk of the banks’ assets. In view of the attempts of international regulators to introduce more risk sensitivene capital requirements, we theoretically examine the effect of specific regulatory capital requirements on the risk taking behavior of(More)
An important trend in bank regulation is greater reliance on market discipline. In particular, information impounded in securities prices is increasingly used to complement supervisory activities of regulators with limited resources. The goal of this paper is to analyze the theoretical foundations of market-based bank regulation. We find that price(More)
  • Filipa Sá, Pascal Towbin, +11 authors Charles Wyplosz
  • 2011
A number of OECD countries experienced an environment of low interest rates and a rapid increase in real house prices and residential investment during the past decade. Different explanations have been suggested for the housing boom: expansionary monetary policy, capital inflows due to a global savings glut and excessive financial innovation combined with(More)
Acknowledgement: For helpful discussions and comments, we thank Patrick Bolton, James Dow, Xavier Freixas, Frank Heinemann, Jan Pieter Krahnen, Alfred Lehar, Steven Ongena, Andrea Resti, Andrea Sironi; seminar participants at Bocconi, Frankfurt, Leuven, Mannheim, Oxford (Said Business School), and Salerno; and participants at the annual meetings of the(More)