DBRS

  • This is a graph of "Bank Total Risk" as measured by "6-Months Rolling Risk Measures." You could have questions about these measures, which are a combination of (1) stock market measures (basically the vol of a bank's stock) and (2) balance sheet measures like Z-scores. So you could ask yourself "does this reflect the bank's risk-taking, or the market's perception of the bank's risk, and are those meaningfully different things to measure?" ANYWAY. Up is riskier.

    News

    Don’t Rely On Rating Agencies To Tell You Who Will Get A Bailout

    A thing I sometimes enjoy is reading research papers examining questions like: if you are a bank, and you are likely to be bailed out, do you take more risks than a bank all on its lonesome, and once you’ve been bailed out, what then? We’ve looked at a BIS paper on international banks, which […]

    / Aug 21, 2012 at 12:09 PM

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