Manufacturing Tail Risk: A Perspective on the Financial Crisis of 2007-09

By V. Acharya, Thomas F. Cooley, Matthew Richardson, Ingo Walter. 2010

155 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a2be834d4311f5ffe9e06097f448644c7ee54ea4

Citations in the corpus

Psychology and the Financial Crisis of 2007-2008 (2011, unknown): “The first, which I label the “bad incentives” view, posits that people on the mortgage desks of banks were aware that, through their activities, they were exposing their institutions to significant risk; but that they simply did not care, because their compensation schemes did not force them to face”
Bank Risk During the Financial Crisis: Do Business Models Matter? (2011, unknown): “…generate “true” alpha.18 This was particularly true in the period prior to the crisis as the profuse use of innovative financial instruments and banking expansion led to the emergence of new banking models, in which managers had stronger incentives to reap short-term returns (Acharya et al., 2010).”
Wall Street and the housing bubble (2014, unknown): “, the debate in Bebchuk, Cohen, and Spamann 2010; Bhagat and Bolton 2011; Cziraki 2013; Fahlenbrach and Stulz 2011), or other stakeholders such as creditors, taxpayers, and society at large (Acharya et al. 2010; Bolton, Mehran, and Shapiro 2011; Edmans and Liu 2011; Rajan 2006, 2010).”
Rollover Risk and Market Freezes (2010, unknown): “P (1) = 0:01265 0:98735 0:01234 0:98766 : (1)”
The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis (2010, unknown): “The fact that Large, Complex Financial Institutions (“LCFI’s”) were increasingly shifting from holding the equity tranche to massively warehousing the senior tranche must be one of the major contributions to the crisis (see Acharya et al. (2010)).”
Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “Acharya et al. (2010b) claim that the shadow banking system was precisely used to organize such a “manufacturing of tail risk” in the run-up to the crisis.”