全球智库信息集成服务系统(G2TT): DP9023 Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP9023
	DP9023 Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
	Stijn Van Nieuwerburgh; Hanno Lustig; Bryan Kelly
发表日期	2012-06-24
出版年	2012
语种	英语
摘要	We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets. A large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial crisis. The difference in costs of out-of-the-money put options for individual banks, and puts on the financial sector index, increases fourfold from its pre-crisis 2003-2007 level. We provide evidence that a collective government guarantee for the financial sector, which lowers index put prices far more than those of individual banks, explains the divergence in the basket-index put spread.
主题	Financial Economics
关键词	Financial crisis Government bailout Option pricing models Systemic risk Too-big-to-fail
URL	https://cepr.org/publications/dp9023
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/537858
推荐引用方式 GB/T 7714	Stijn Van Nieuwerburgh,Hanno Lustig,Bryan Kelly. DP9023 Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees. 2012.