Is mark-to-market accounting destabilizing? Analysis and implications for policy

By J. Heaton, Deborah J. Lucas, R. McDonald. 2010

135 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/bfab65893b25aa9db828b8eec616f1c4309ab5c3

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Citations in the corpus

Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis (2009, unknown): “Along the same line, a recent paper by Heaton, Lucas, and McDonald (2008) explicitly argues that capital reserve is a risk-neutral measurement, and Äıt-Sahalia and Lo (2000) regard value-at-risk (VaR) as inherently a risk-adjusted quantity implied by financial markets.”
Market pricing of banks’ fair value assets reported under SFAS 157 since the 2008 financial crisis (2015, unknown): “Fundamental economic principles provide a rationale for requiring financial institutions to use fair valuation for financial reporting (e.g., Heaton et al., 2010).”
Contingent Capital with a Dual Price Trigger (2013, background): “(20)Heaton et al. (2010) discuss the measurement of bank capital in a context where bank stock prices can fall because risk premia rise.”
Did Fair-Value Accounting Contribute to the Financial Crisis? (2010, unknown): “Moreover, if fi re-sale prices from a distressed bank become relevant marks for other banks, mark-to-market accounting can cause write-downs and regulatory capital problems for otherwise sound banks (Cifuentes, Ferrucci, and Shin, 2005; Allen and Carletti, 2008; Heaton, Lucas, and McDonald, 2009).”
Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading (2015, background): “17 See also Hong and Warga (2000) and Schultz (2001). Driessen (2005) uses bond age to identify the liquidity component of credit spreads.”