美联储-定价尾部风险：2023年银行压力下的银行股权回报（英）

Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)Pricing Tail Risks: Bank Equity Returns During the 2023 BankStressMatthew P. Seay and Shawn M. Kimble2025-078Please cite this paper as:Seay, Matthew P., and Shawn M. Kimble (2025).“Pricing Tail Risks:Bank Eq-uity Returns During the 2023 Bank Stress,” Finance and Economics Discussion Se-ries 2025-078.Washington:Board of Governors of the Federal Reserve System,https://doi.org/10.17016/FEDS.2025.078.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.Pricing Tail Risks: Bank Equity Returns During the 2023 Bank Stress * Matthew P. Seay† Shawn M. Kimble‡ August 22, 2025 Abstract Did bank equity prices reflect growing sector imbalances before the 2023 failure of Silicon Valley Bank? We find that banks with higher reliance on uninsured deposits, or with higher marked-to-market leverage, had lower equity returns prior to SVB's collapse. Although markets priced uninsured deposits and high leverage individually, their interaction was not reflected in market prices prior to SVB’s failure. Post-SVB, banks with less ability to meet outflows without severely depleting capital, and banks with too little useable liquidity relative to runnable funding, experienced larger stock price declines, beyond what other fundamentals and business model risks explain. In addition, we highlight evidence of feedback between equity prices and balance sheet management: banks with lower returns in 2023:Q1 were more likely to rely heavily on reciprocal deposits by 2023:Q2. Keywords: Financial Institutions, Bank Capital, Interest Rate Risk, Liquidity JEL Classification Numbers: G20, G21, G28 * We thank William Bassett, Sergio Correia, Arun Gupta, Skander Van den Heuvel, Chase Ross, Nathan Swem, Cindy Vojtech, and Phillip Weed for their helpful comments. The views expressed here are solely those of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System. †Board of Governors of the Federal Reserve System, Email: matt.seay@frb.gov. ‡Boston College, Email: kimblesh@bc.edu. 1 1.0 Introduction In an after-hours press release on Wednesday, March 8, 2023, Silvergate Capital announced it would be winding down Silvergate Bank (Silvergate 2023). The $11 billion crypto-centric bank succumbed to deposit outflows following a loss of confidence in the digital asset sector after the bankruptcy of FTX in late 2022. That same evening, the t