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Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks †
The financial crisis of 2007-2009 has given way to the sovereign debt crisis of 2010-2012, yet many of the banking issues remain the same. We discuss a method to estimate the capital that a financialExpand
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Insider Trading in Credit Derivatives
Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stockExpand
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Measuring Systemic Risk
We present an economic model of systemic risk and show that each financial institution's contribution to systemic risk can be measured as its systemic expected shortfall (SES), i.e., its propensityExpand
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Does Industry-Wide Distress Affect Defaulted Firms? Evidence from Creditor Recoveries
Using data on defaulted firms in the United States over the period 1982 to 1999, we show that creditors of defaulted firms recover significantly lower amounts in present-value terms when the industryExpand
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Real Effects of the Sovereign Debt Crisis in Europe: Evidence from Syndicated Loans
This paper shows that the sovereign debt crisis and the resulting credit crunch in the periphery of the Eurozone lead to negative real effects for borrowing firms. Using a hand matched sample of loanExpand
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A Crisis of Banks as Liquidity Providers
Can banks maintain their advantage as liquidity providers when exposed to a financial crisis? While banks honored credit lines drawn by firms during the 2007 to 2009 crisis, this liquidity provisionExpand
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Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
Macroprudential stress tests have been employed by regulators in the United States and Europe to assess and address the solvency condition of financial firms in adverse macroeconomic scenarios. WeExpand
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Bankruptcy Codes and Innovation
Do legal institutions governing financial contracts affect the nature of real investments in the economy? We develop a simple model and provide evidence that the answer to this question is yes. WeExpand
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Creditor Rights and Corporate Risk-Taking
We propose that stronger creditor rights in bankruptcy affect corporate investment choice by reducing corporate risk-taking. In cross-country analysis, we find that stronger creditor rights induceExpand
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