A Tax on Systemic Risk

By V. Acharya, Lasse Heje Pedersen, Thomas Philippon, Matthew Richardson. 2010

113 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f30e7ec56461977ec1406cf66fe0fb69408f2059

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Citations in the corpus

This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance During the Recent Financial Crisis (2012, unknown): “We re-estimate the regressions in Table 2 including the standard deviation of daily returns during the calendar year 2006 as an additional control, following Acharya et al. (2010).”
Contagion and Banking Crisis - International Evidence for 2007-2009 (2015, background): “…banking sectors with lower engagement in shadow banking activities and higher regulatory capital will have lower probability of crisis occurrence (Acharya et al., 2010; Allen and Gale, 2000; Beck et al., 2006; Berger and Bouwman, 2013; Bretschger et al., 2012; Cole, 2012; Bruyckere et al., 2013;…”
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors (2010, methodology): “Following the approach of Acharya et al. (2010), we consider two 36-month samples, October 2002–September 2005 and July 2004–June 2007, as estimation periods in which systemic risk measures are estimated, and the period from July 2007–December 2008 as the “out-of-sample” period encompassing the…”
The End of Market Discipline? Investor Expectations of Implicit State Guarantees (2013, methodology): “…of macro-prudential regulation should work like Pigovian taxes in order to discourage banks from pursuing strategies that contribute to the risk of the financial system as a whole (e.g., Acharya et al. 2010; Perotti and Suarez 2009; Brunnermeier et al. 2009; Financial Stability Forum 2009a, 2009b).”
Does Local Religiosity Matter for Bank Risk-Taking? (2016, background): “Following Allen and Michaely (2003), and Li and Zhao (2008), we scale dividends by book assets, instead of stock price or earnings, to ensure that the results are not driven by stock price variation or negative earnings.”
Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies (2012, unknown): “Accordingly, our main risk measure of interest is Tail Risk, which is based on the expected shortfall (ES) measure that is widely used within financial firms to measure expected loss conditional on returns being less than some α-quintile (see Acharya et al. (2010)).”
A Theoretical and Empirical Comparison of Systemic Risk Measures (2013, background): “Three prominent examples of such measures are the Marginal Expected Shortfall (MES) of Acharya et al. (2010), the Systemic Risk Measure (SRISK) of Brownlees and Engle (2011) and Acharya, Engle et Richardson (2012), and the Delta Conditional Value-at-Risk ( (cid:1) CoVaR) of Adrian and Brunnermeier…”
Systemic Risk Measures: The Simpler the Better? (2013, result): “Similar approaches have been taken by Acharya et al. (2010) or Brownlees and E gle (2010) among others.”
The Dark Side of Bank Wholesale Funding (2010, background): “Comparing (2) and (3) highlights the benecial e¤ects of the use of wholesale funds: higher investment volume D +W = 1 instead of D, and preservation of the liquidation value of some bad banks m (1 p)L at the cost of monitoring C(m ).”
A Pigovian Approach to Liquidity Regulation (2011, result): “A similar result emerges in Acharya et al (2010).”
Conditional Euro Area Sovereign Default Risk (2014, result): “From a (tail) risk perspective, our joint approach is in line with, for example, Acharya et al. (2010) who focused on financial institutions: bad outcomes are much worse if they occur in clusters.”