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Interest-risk sensitive deposit insurance premia
8 references·16 citing·46 second hop
Interest-risk sensitive deposit insurance premia (1985)Interest-risk sensitive deposit insurance…The Valuation of FDIC Deposit Insurance Using Option-Pricing Estimates (1984)The Valuation of FDIC Deposit…Market Evidence on the Effective Maturity of Bank Assets and Liabilities (1984)Market Evidence on the Effect…Estimates of the Variance of U. S. Inflation Based upon the ARCH Model (1983)Estimates of the Variance of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)An analytic derivation of the…THE TAX‐ADJUSTED YIELD CURVE (1975)THE TAX‐ADJUSTED YIELD CURVEAn Estimate of the Liquidity Premium (1975)An Estimate of the Liquidity …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The two-sided Weibull distribution and forecasting financial tail risk (2013)The two-sided Weibull distrib…Stable mixture GARCH models (2012)Stable mixture GARCH modelsSystemic Risk and Deposit Insurance Premiums (2010)Systemic Risk and Deposit Ins…Systemic Risk and Deposit Insurance Premiums (2009)Systemic Risk and Deposit Ins…An Econometric Analysis of Emission Trading Allowances (2006)An Econometric Analysis of Em…Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions (2003)Prediction of Financial Downs…Stationarity of stable power-GARCH processes (2002)Stationarity of stable power-…Credit risk and the deposit insurance premium: a note (2001)Credit risk and the deposit i…Diagnosing and treating the fat tails in financial returns data (2000)Diagnosing and treating the f…Measuring Tail Thickness to Estimate the Stable Index α: A Critique (1997)Measuring Tail Thickness to E…Stable GARCH models for financial time series (1995)Stable GARCH models for finan…Deposit insurance and bank interest rate risk: Pricing and regulatory implications (1995)Deposit insurance and bank in…On the relation between GARCH and stable processes (1991)On the relation between GARCH…Off-balance sheet liabilities, deposit insurance and capital regulation (1991)Off-balance sheet liabilities…Estimates of the Variance of U. S. Inflation Based upon the ARCH Model: Comment (1988)Estimates of the Variance of …Appearance and reality in deposit insurance (1986)Appearance and reality in dep…The Valuation of Corporate Liabilities as Compound Options (1977)Options on the minimum or the maximum of two risky assets (1982)Incentives for unconsolidated financial reporting (1990)Modeling the bank regulator's closure option: A two-step logit regression approach (1992)Response of uninsured depositors to impending S&L failures: Evidence of depositor discipline (1996)The Role of Contingent Claims Analysis in Corporate Finance (2019)The Theory of Investment Value, by John Burr Williams (1939)Measuring the Term Structure of Interest Rates (1971)Expectations Models of Asset Prices: A Survey of Theory (1982)The Term Structure of Interest Rates (1987)Chapter 13 The term structure of interest rates (1990)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Theory of Bank Risk Taking and Competition Revisited (2005)The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? (2011)How does capital affect bank performance during financial crises? (2013)Some International Evidence on Output-Inflation Tradeoffs. (1973)Nobel Lecture: Inflation and Unemployment (1977)Modelling the persistence of conditional variances (1986)Risk measurement when shares are subject to infrequent trading (1979)Market Interest Rates and Commercial Bank Profitability: An Empirical Investigation (1981)The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)Bank Foreign Lending, Mandatory Disclosure Rules, and the Reaction of Bank Stock Prices to the Mexican Debt Crisis (1987)The US Dollar Shortage in Global Banking and the International Policy Response (2009)Banks' Risk Exposures (2015)The Variation of Certain Speculative Prices (1963)ARCH modeling in finance (1992)The variation of certain speculative prices (1997)Motion picture profit, the stable Paretian hypothesis, and the curse of the superstar (2003)Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2006)Nondiversification Traps in Catastrophe Insurance Markets (2008)Is Fairly Priced Deposit Insurance Possible? (1992)Bank Risk, Capitalization, and Operating Efficiency (1997)Theory of rational option pricing (2005)Equity and Bond Market Signals as Leading Indicators of Bank Fragility (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns (1993)Term Structure of Interest Rates (2008)Noise as Information for Illiquidity (2013)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory1,923 cited
  • 1975THE TAX‐ADJUSTED YIELD CURVE548 cited
  • 1983Estimates of the Variance of U. S. Inflation Based upon the ARCH Model462 cited
  • 1984The Valuation of FDIC Deposit Insurance Using Option-Pricing Estimates360 cited
  • 1984Market Evidence on the Effective Maturity of Bank Assets and Liabilities153 cited
  • 1975An Estimate of the Liquidity Premium122 cited

Cited by

  • 1997Measuring Tail Thickness to Estimate the Stable Index α: A Critique183 cited
  • 1986Appearance and reality in deposit insurance107 cited
  • 1991On the relation between GARCH and stable processes106 cited
  • 2006An Econometric Analysis of Emission Trading Allowances99 cited
  • 2009Systemic Risk and Deposit Insurance Premiums93 cited
  • 1988Estimates of the Variance of U. S. Inflation Based upon the ARCH Model: Comment90 cited
  • 1995Deposit insurance and bank interest rate risk: Pricing and regulatory implications

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89 cited
  • 2002Stationarity of stable power-GARCH processes83 cited
  • 2000Diagnosing and treating the fat tails in financial returns data79 cited
  • 1991Off-balance sheet liabilities, deposit insurance and capital regulation74 cited
  • 1995Stable GARCH models for financial time series70 cited
  • 2001Credit risk and the deposit insurance premium: a note66 cited
  • 2003Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions62 cited
  • 2012Stable mixture GARCH models60 cited
  • 2010Systemic Risk and Deposit Insurance Premiums60 cited
  • 2013The two-sided Weibull distribution and forecasting financial tail risk56 cited