Though part of “market lore,” Black (1976) first reported the inverse relationship between price and volatility, calling it the “leverage effect.” Without providing evidence, Black (1988) claims that in the months leading up to the October ‘87 Crash the relationship changed: price and...

Bank regulators consider minimum capital standards essential for promoting well-functioning banking systems. Despite their existence, however, such standards have been insufficient to prevent periodic disruptions in the banking sectors of various countries. The most recent disruption was the...