注册 投稿
经济金融网 中国经济学教育科研网 中国经济学年会 EFN通讯社

Too-Systemic-To-Fail

文件大小:未知

级别评定:★★★★★

添加时间:2016-01-01 12:59:24

最后更新:2016-01-11 13:36:24

下载积分:0分 (只有会员文件下载时才需要相应积分验证)

总浏览:

总下载:17

发布人:george15135

  • 如果您发现该资源不能下载,请在本站论坛提出,管理员会及时处理。
  • 未经本站明确许可,任何网站不得非法盗链及抄袭本站资源。
  • 本站资源均为网友提供交流,仅供教学、研究使用,请下载后24小时内自行删除。
    0
资源简介

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees


Bryan T. Kelly 


University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER)

Hanno N. Lustig 


Stanford Graduate School of Business; National Bureau of Economic Research (NBER)

Stijn Van Nieuwerburgh 


New York University Stern School of Business, Department of Finance; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

October 30, 2015

American Economic Review, Forthcoming 
Fama-Miller Working Paper 
Chicago Booth Research Paper No. 11-12


Abstract:      

We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets, and we show that a large amount of aggregate tail risk is missing from the cost of financial sector crash insurance during the crisis. The difference in costs between out-of-the-money put options for individual banks and puts on the financial sector index increases fourfold from its pre-crisis 2003-2007 level. We provide evidence that a collective government guarantee for the financial sector lowers index put prices far more than those of individual banks and explains the increase in the basket-index put spread.

 

Number of Pages in PDF File: 70

Keywords: systemic risk, too-big-to-fail, option pricing, government bailout, financial disaster models

JEL Classification: G12, G13, G18, G21, G28, E44, E60, H23

资源评论

快速入口
回到顶部
深圳网站建设