Macrofinancial Risk Analysis

Gray, Dale F.; Malone, Samuel W.

doi:10.1002/9781118467428

Cited by 112 publications

(77 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Kashyap and Stein (2000) and Ghossoub and Reed (2015), for example, analyze how 4 National Income and Product Accounts (NIPA) table 6.16 the bank size distribution influences the propagation of monetary policy. Gray and Malone (2008) discuss the implications of different bank size distributions for large scale private-public risk transfers. Beck, Demirgüç-Kunt, and Levine (2006) examine the relationship between the bank size distribution and banking crises.…”

Section: Introductionmentioning

confidence: 98%

Why Are Big Banks Getting Bigger?

Fernholz

Koch

2016

View full text Add to dashboard Cite

The U.S. banking sector has become substantially more concentrated since the 1990s, raising questions about both the causes and implications of this consolidation. We address these questions using nonparametric empirical methods that characterize dynamic power law distributions in terms of two shaping factors -the reversion rates (a measure of crosssectional mean reversion) and idiosyncratic volatilities of assets for different size-ranked banks. Using quarterly data for subsidiary commercial banks and thrifts and their parent bank-holding companies, we show that the greater concentration of U.S. bank-holding company assets is a result of lower mean reversion, a result consistent with policy changes such as interstate branching deregulation and the repeal of Glass-Steagall. In contrast, the greater concentration of both U.S. commercial bank and thrift assets is a result of higher idiosyncratic volatility, yet, idiosyncratic volatility of parent bank-holding company assets fell. This contrast suggests that diversification through non-banking activities has reduced the idiosyncratic asset volatilities of the largest bank-holding companies and affected systemic risk.

show abstract

Section: Introductionmentioning

confidence: 98%

Why Are Big Banks Getting Bigger?

Fernholz

Koch

2016

View full text Add to dashboard Cite

show abstract

“…Wei (2003) discusses a multi-factor credit migration modeling approach that can be applied for both corporate and sovereign debts. Gray and Malone (2008) extend Merton's contingent claim approach to the macro level, including sovereign balance sheet analysis. Remolona et al (2007) discuss the factors explaining sovereign credit spreads, and relate potential loss based on historical data provided by rating agencies to the size of the credit spread.…”

Section: Literature Reviewmentioning

confidence: 98%

Diversifying Market and Default Risk in High Grade Sovereign Bond Portfolios

Brennan¹,

Kobor

Rustaman³

2011

SSRN Journal

View full text Add to dashboard Cite

“…In recent literature, Gray and Malone (2008) and Saldias (2013) have argued that option based volatility can improve the performance of DtD and overcome some of the shortcomings originated in its assumptions on the returns distributions. Given that we want to discriminate the banking structure among EMU countries, we will shy away from using index volatility.…”

Section: Literature Surveymentioning

confidence: 99%