This paper confirms that adopting explicit deposit insurance expanded risk-shifting incentives for Canadian Banks and Trust Companies. By transferring responsibility for monitoring non-systematic risk to the Canadian Deposit Insurance Corporation (CDIC), deposit insurance eliminated the...

Credit risk transfer (CRT) instruments offer important diversification benefits but may magnify shocks since they disperse risk, across both financial and non-financial sectors. Exposures to CRT instruments, such as credit derivatives, are difficult to track, given the lack of public data on...

If imitation is the highest form of flattery, the United States may feel very flattered by the fact that other nations have modeled many of their regulations governing financial services (securities, banking, and insurance) on U.S. regulations. In fact, the United States government and the...

In this study we estimate the effect of terror on trade in financial services using the gravity model. In a sample of more than 60 importing and exporting countries from 2000 to 2014, we find robust evidence that terrorist attacks in either the importer or the exporter territory significantly...

We present a model for assessing how the UK's system of market-based finance — an increasingly important source of credit to the real economy since the financial crisis — might behave under stress. The core of this model is a set of representative agents, which correspond to key sectors of...

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...

We investigate the impact that the publication of the Bank of England's Financial Stability Report (FSR) has on the stock returns and credit default swap spreads of UK financial institutions. Examining a sample of 73 UK-listed banks and other financial institutions, we find that publication of...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

We provide evidence concerning the use of historical cost (HCA) versus mark-to-market (MTM) accounting in regulating financial institutions. Accounting rules, through their interactions with capital regulations, alter financial institutions' trading behavior. The insurance industry provides a...

VaR_Delta-Normal is derived from a Put option, named PVaR_Delta-Normal and Expected_Shortfall, PSF_Delta-Normal – the latter a coherent measure – guaranteeing VaR can never be larger than the fund value. Current standard VaR_Delta-Normal uses covariances calculated from the entire...