Forward-Looking Tail Risk Exposures at U.S. Bank Holding Companies

11Citations
Citations of this article
24Readers
Mendeley users who have this article in their library.

This article is free to access.

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. © 2012 The Author(s).

References Powered by Scopus

The cross-section of volatility and expected returns

2262Citations
N/AReaders
Get full text

Bank activity and funding strategies: The impact on risk and returns

716Citations
N/AReaders
Get full text

Risks and Portfolio Decisions Involving Hedge Funds

613Citations
N/AReaders
Get full text

Cited by Powered by Scopus

Systemic risk and bank business models

42Citations
N/AReaders
Get full text

Realized bank risk during the great recession

42Citations
N/AReaders
Get full text

The determinants of systemic risk contagion

6Citations
N/AReaders
Get full text

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Cite

CITATION STYLE

APA

Knaup, M., & Wagner, W. (2012). Forward-Looking Tail Risk Exposures at U.S. Bank Holding Companies. Journal of Financial Services Research, 42(1–2), 35–54. https://doi.org/10.1007/s10693-012-0131-5

Readers' Seniority

Tooltip

PhD / Post grad / Masters / Doc 11

58%

Professor / Associate Prof. 4

21%

Researcher 3

16%

Lecturer / Post doc 1

5%

Readers' Discipline

Tooltip

Economics, Econometrics and Finance 13

68%

Business, Management and Accounting 4

21%

Computer Science 1

5%

Social Sciences 1

5%

Save time finding and organizing research with Mendeley

Sign up for free