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Credit risk securitization and bank soundness in Europe
16 references·9 citing·29 second hop
Credit risk securitization and bank soundness in Europe (2012)Credit risk securitization and bank sound…Merton, Robert C. (2010)Merton, Robert C.Theory of rational option pricing (2005)Theory of rational option pri…The Theory of Bank Risk Taking and Competition Revisited (2005)The Theory of Bank Risk Takin…How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)How Often to Sample a Continu…The Pooling and Tranching of Securities: A Model of Informed Intermediation (2004)The Pooling and Tranching of …Econometric Analysis of Cross Section and Panel Data (2001)Econometric Analysis of Cross…Diversification, Size, and Risk at Bank Holding Companies (1997)Diversification, Size, and Ri…Size and performance of banking firms (1993)Size and performance of banki…An Illustration of a Pitfall in Estimating the Effects of Aggregate Variables on Micro Units (1990)An Illustration of a Pitfall …Deposit Insurance, Risk, and Market Power in Banking (1988)Deposit Insurance, Risk, and …Specification Tests in Econometrics (1978)Specification Tests in Econom…Early warning of bank failure (1977)Early warning of bank failureAn analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)An analytic derivation of the…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Bank credit risk and macro-prudential policies: Role of counter-cyclical capital buffer (2022)Bank credit risk and macro-pr…Shadow banking, macroprudential policy, and bank stability: Evidence from China’s wealth management product market (2021)Shadow banking, macroprudenti…Securitization, bank behaviour and financial stability: A systematic review of the recent empirical literature (2018)Securitization, bank behaviou…Securitization and credit quality in the European market (2018)Securitization and credit qua…The effect of financial innovation on European banks' risk (2016)The effect of financial innov…Securitization and lending standards: Evidence from the European wholesale loan market (2016)Securitization and lending st…Securitization and credit risk: Empirical evidence from an emerging economy (2015)Securitization and credit ris…Determinants of Loan Securitization in European Banking (2013)Determinants of Loan Securiti…A Comparative Analysis of Ex Ante Credit Spreads: Structured Finance Versus Straight Debt Finance (2013)A Comparative Analysis of Ex …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)A Theory of Oligopoly (1964)Tobin's $q$ Ratio and Industrial Organization (1981)Bank concentration, competition, and crises: First results (2005)How does capital affect bank performance during financial crises? (2013)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)Relationship Lending and Lines of Credit in Small Firm Finance (1995)The Effect of Credit Market Competition on Lending Relationships (1995)Liberalization, Moral Hazard in Banking, and Prudential Regulation: Are Capital Requirements Enough? (2000)Bank Competition and Financial Stability (2008)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)On the Pooling of Time Series and Cross Section Data (1978)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Another look at the instrumental variable estimation of error-components models (1995)Corporate social responsibility and access to finance (2013)The China Syndrome: Local Labor Market Effects of Import Competition in the United States (2013)Who Benefits from State and Local Economic Development Policies? (1991)GMM estimation with cross sectional dependence (1999)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? (2011)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2001Econometric Analysis of Cross Section and Panel Data27,575 cited
  • 1978Specification Tests in Econometrics18,788 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1990An Illustration of a Pitfall in Estimating the Effects of Aggregate Variables on Micro Units2,634 cited
  • 2005The Theory of Bank Risk Taking and Competition Revisited2,097 cited
  • 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory1,923 cited
  • 1988Deposit Insurance, Risk, and Market Power in Banking1,782 cited
  • 1997Diversification, Size, and Risk at Bank Holding Companies1,092 cited
  • 1977Early warning of bank failure960 cited
  • 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited
  • 1993Size and performance of banking firms826 cited
  • 2010Merton, Robert C.812 cited

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2004
The Pooling and Tranching of Securities: A Model of Informed Intermediation
632 cited

Cited by

  • 2022Bank credit risk and macro-prudential policies: Role of counter-cyclical capital buffer77 cited
  • 2016The effect of financial innovation on European banks' risk59 cited
  • 2013Determinants of Loan Securitization in European Banking58 cited
  • 2016Securitization and lending standards: Evidence from the European wholesale loan market47 cited
  • 2018Securitization, bank behaviour and financial stability: A systematic review of the recent empirical literature44 cited
  • 2015Securitization and credit risk: Empirical evidence from an emerging economy41 cited
  • 2013A Comparative Analysis of Ex Ante Credit Spreads: Structured Finance Versus Straight Debt Finance37 cited
  • 2018Securitization and credit quality in the European market32 cited
  • 2021Shadow banking, macroprudential policy, and bank stability: Evidence from China’s wealth management product market32 cited