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Market Valuation and Risk Assessment of Canadian Banks
16 references·1 citing·43 second hop
Market Valuation and Risk Assessment of Canadian Banks (2006)Market Valuation and Risk Assessment of C…The New Keynesian Hybrid Phillips Curve: An Assessment of Competing Specifications for the United States (2021)The New Keynesian Hybrid Phil…Theory of rational option pricing (2005)Theory of rational option pri…Financial Market Imperfection, Overinvestment and Speculative Precaution (2004)Financial Market Imperfection…Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation (2004)Exchange Rate Pass-Through an…Equity and Bond Market Signals as Leading Indicators of Bank Fragility (2002)Equity and Bond Market Signal…Bank Risk and Deposit Insurance (2002)Bank Risk and Deposit Insuran…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Deposit insurance and bank interest rate risk: Pricing and regulatory implications (1995)Deposit insurance and bank in…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Pricing Stock and Bond Options when the Default-Free Rate is Stochastic (1989)Pricing Stock and Bond Option…Market Valuation of Bank Assets and Deposit Insurance in Canada (1989)Market Valuation of Bank Asse…Option Pricing when the Variance is Changing (1987)Option Pricing when the Varia…Pricing Risk‐Adjusted Deposit Insurance: An Option‐Based Model (1986)Pricing Risk‐Adjusted Deposit…The valuation of compound options (1979)The valuation of compound opt…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Fresh evidence on the relationship between market power and default risk of Indian banks (2021)Fresh evidence on the relatio…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Biases in Dynamic Models with Fixed Effects (1981)Staggered prices in a utility-maximizing framework (1983)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Exchange Rate Changes and Inflation in Post‐Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass‐Through (2008)Price adjustment and exchange rate pass-through (2009)Inflation responses to commodity price shocks – How and why do countries differ? (2016)Theory of Rational Option Pricing (1973)Determinants of corporate borrowing (1977)Option values under stochastic volatility: Theory and empirical estimates (1987)THE GARCH OPTION PRICING MODEL (1995)Arbitrage Theory in Continuous Time (2004)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)The Behavior of Stock-Market Prices (1965)Augmented GARCH (p,q) process and its diffusion limit (1997)The variation of certain speculative prices (1997)Empirical option pricing: a retrospection (2003)A Benchmark Approach to Quantitative Finance (2006)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)Measurement of contagion in banks’ equity prices (2004)Testing for Opaqueness in the European Banking Industry: Evidence from Bond Credit Ratings (2006)Do Depositors Discipline Banks and Did Government Actions During the Recent Crisis Reduce this Discipline? An International Perspective (2014)Specification Tests in Econometrics (1978)A Theory of the Term Structure of Interest Rates (1985)Nonparametric risk management and implied risk aversion (2000)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991 (1996)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Market discipline and deposit insurance (2004)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1979The valuation of compound options1,107 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 1986Pricing Risk‐Adjusted Deposit Insurance: An Option‐Based Model709 cited
  • 1987Option Pricing when the Variance is Changing377 cited
  • 2004Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation234 cited
  • 2002Equity and Bond Market Signals as Leading Indicators of Bank Fragility189 cited
  • 2002Bank Risk and Deposit Insurance126 cited
  • 1989Pricing Stock and Bond Options when the Default-Free Rate is Stochastic122 cited
  • 1995Deposit insurance and bank interest rate risk: Pricing and regulatory implications89 cited
  • 1989Market Valuation of Bank Assets and Deposit Insurance in Canada65 cited
  • 2021The New Keynesian Hybrid Phillips Curve: An Assessment of Competing Specifications for the United States

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24 cited
  • 2004Financial Market Imperfection, Overinvestment and Speculative Precaution16 cited
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    • 2021Fresh evidence on the relationship between market power and default risk of Indian banks18 cited