Online Appendix for: The Decline of Too Big to Fail

75 Pages Posted: 12 Apr 2024 Last revised: 13 Dec 2024

See all articles by Antje Berndt

Antje Berndt

Australian National University, College of Business and Economics

Darrell Duffie

Stanford University - Graduate School of Business; National Bureau of Economic Research (NBER); Canadian Derivatives Institute

Yichao Zhu

Australian National University (ANU), Research school of Finance, Actuarial Studies and Applied Statistics

Multiple version iconThere are 2 versions of this paper

Date Written: November 23, 2024

Abstract

For globally systemically important banks (GSIBs) with US headquarters, we find significant reductions in market-implied probabilities of government bailout after the Global Financial Crisis (GFC), along with roughly 170% higher wholesale debt financing costs for these banks after controlling for insolvency risk. Since the GFC, bank creditors appear to expect much larger losses in the event that a GSIB approaches insolvency. In this sense, we estimate a decline of "too big to fail."

Keywords: Too big to fail, systemically important banks, bailouts

JEL Classification: G12, G13, G21, G28

Suggested Citation

Berndt, Antje and Duffie, James Darrell and Zhu, Yichao, Online Appendix for: The Decline of Too Big to Fail (November 23, 2024). Available at SSRN: https://ssrn.com/abstract=4763388 or http://dx.doi.org/10.2139/ssrn.4763388

Antje Berndt (Contact Author)

Australian National University, College of Business and Economics ( email )

Australian National University
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Canberra, ACT 2601
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HOME PAGE: http://https://cbe.anu.edu.au/about/staff-directory/professor-antje-berndt

James Darrell Duffie

Stanford University - Graduate School of Business ( email )

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National Bureau of Economic Research (NBER)

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Canadian Derivatives Institute ( email )

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Canada

Yichao Zhu

Australian National University (ANU), Research school of Finance, Actuarial Studies and Applied Statistics ( email )

Kingsley Street
Acton
Australia

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