Saturday, April 13
Thu
Mar
28

United They Fall: Bank Risk after the Financial Crisis

Speakers:

Amiyatosh PurnanandamUniversity of Michigan

 
28
March,
2024
05:00 PM to 06:30 PM (IST)

Abstract:-
We document a three-fold increase in average pairwise correlation in bank equity returns after the global financial crisis, a pattern that is absent in non-bank  financials or non-financial firms. We tease out one key economic channel behind the increased similarity: stress-test regulations that incentivize banks to make similar portfolio decisions. The increase in similarity is especially strong for smaller stress-tested banks such as regional banks. The stress-tested banks increase their exposure to a factor that is orthogonal to the factors that enter the stress test scenario. Our findings raise concerns about “too-many-to-fail” risk in response to model-based regulations.

(With Priyank Gandhi)

To register for this event please visit the following URL: https://us06web.zoom.us/meeting/register/tZModu6rrzMoEtx6nxkHgFE-_XIju-GR_r4n →

Date & Time

28-03-2024
05:00 PM
to 06:30 PM (IST)

Location

Anywhere

Event Type

IEG Seminar

Event Category

Past event

Speaker(s)

Amiyatosh Purnanandam

University of Michigan

Moderator(s)

Sukhdeep Singh

Assistant Professor