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- W1997055566 abstract "This paper develops a simple method for quantifying banks’ exposures to large (negative) shocks in a forward-looking manner. The method is based on estimating banks’ share prices sensitivities to (market) put options and does not require the actual observation of tail risk events. We find that estimated (excess) tail risk exposures for U.S. Bank Holding Companies are negatively correlated with their share price beta, suggesting that banks which appear safer in normal periods are actually more crisis prone than their beta would suggest. We also study the determinants of banks’ tail risk exposures and find that their key drivers are uninsured deposits and non-traditional activities that leave assets on banks’ balance sheets." @default.
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- W1997055566 date "2012-03-07" @default.
- W1997055566 modified "2023-09-23" @default.
- W1997055566 title "Forward-Looking Tail Risk Exposures at U.S. Bank Holding Companies" @default.
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- W1997055566 doi "https://doi.org/10.1007/s10693-012-0131-5" @default.
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