Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees
研究了2007-2009年美国金融危机期间期权市场对金融业崩溃保险的定价，发现行业指数看跌期权价格远低于单个银行，表明市场预期政府会对整个金融业提供集体担保。
We examine the pricing of financial crash insurance during the 2007–2009 financial crisis in US option markets, and we show that a large amount of aggregate tail risk is missing from the cost of financial sector crash insurance during the crisis. The difference in costs between out-of-the-money put options for individual banks and puts on the financial sector index increases four-fold from its precrisis 2003–2007 level. We provide evidence that a collective government guarantee for the financial sector lowers index put prices far more than those of individual banks and explains the increase in the basket-index put spread.