What Can Volatility Smiles Tell Us About the Too Big to Fail Problem?
利用期权价格信息构建银行尾部风险新指标，发现美国银行业在金融危机后尾部风险持续上升，但被《多德-弗兰克法案》认定为系统重要性的银行除外，表明该认定强化了其太大而不能倒地位。
Abstract We exploit the information content of option prices to construct a novel measure of bank tail risk. We document a persistent increase in tail risk for the U.S. banking industry following the global financial crisis, except for banks designated as systemically important by the Dodd–Frank Act. We show that this post-crisis difference in tail risk for large and small banks is consistent with the too-big-to-fail (TBTF) status of large banks being reinforced by the Dodd–Frank designation: Naming the banks whose failure could threaten the financial stability of the U.S. gave investors a list of banks the government deemed as TBTF.