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An options-based approach to evaluating the risk of Fannie Mae and Freddie Mac
13 references·1 citing·42 second hop
An options-based approach to evaluating the risk of Fannie Mae and Freddie Mac (2006)An options-based approach to evaluating t…Fussing and Fuming over Fannie and Freddie: How Much Smoke, How Much Fire? (2005)Fussing and Fuming over Fanni…The Interest Rate Risk of Fannie Mae and Freddie Mac (2003)The Interest Rate Risk of Fan…Measuring Potential GSE Funding Advantages (2002)Measuring Potential GSE Fundi…Implications of the New Fannie Mae and Freddie Mac Risk-based Capital Standard (2002)Implications of the New Fanni…Debt Spreads Between GSEs and Other Corporations (2002)Debt Spreads Between GSEs and…Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)Do Credit Spreads Reflect Sta…Testimony Before the Committee on Banking, Housing, and Urban Affairs (1998)Testimony Before the Committe…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…On the Cost of Deposit Insurance When There Are Surveillance Costs (1978)On the Cost of Deposit Insura…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…Corporate pension funding policy (1976)Corporate pension funding pol…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Bank Risk Dynamics and Distance to Default (2019)Bank Risk Dynamics and Distan…Option Pricing and Replication with Transactions Costs (1985)Measures of risk (2002)The Impact of Deregulation and Financial Innovation on Consumers: The Case of the Mortgage Market (2010)The Journal of Real Estate Finance and Economics (2013)Derivatives holdings and systemic risk in the U.S. banking sector (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Taxation and Corporate Pension Policy (1981)The Effect of Voluntary Spin‐off Announcements on Shareholder Wealth (1983)Theory of rational option pricing (2005)Risk Shifting versus Risk Management: Investment Policy in Corporate Pension Plans (2008)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The Valuation of FDIC Deposit Insurance Using Option-Pricing Estimates (1984)Risk‐Based Premiums for Insurance Guaranty Funds (1988)Is Fairly Priced Deposit Insurance Possible? (1992)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)On financial contracting (1979)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)The Determinants of Credit Default Swap Premia (2009)Finance and Economics Discussion Series (2022)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)The theory and practice of corporate finance: evidence from the field (2001)Measuring the Benefits of Homeowning: Effects on Children (1997)Incentives and Social Capital: Are Homeowners Better Citizens? (1999)Shadow Banking: A Review of the Literature (2012)Shadow Bank Monitoring (2013)Rethinking Housing Bubbles: The Role of Household and Bank Balance Sheets in Modeling Economic Cycles (2014)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)Credit Risk Modeling (2004)On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle (2008)Local and Regional Audit Firms and the Market for SEC Audits (2004)Liquidity Production in 21st Century Banking (2008)Epistemic contestation and interagency conflict: The challenge of regulating investment funds (2022)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory1,923 cited
  • 2001Do Credit Spreads Reflect Stationary Leverage Ratios?765 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure444 cited
  • 1976Corporate pension funding policy413 cited
  • 1978On the Cost of Deposit Insurance When There Are Surveillance Costs395 cited
  • 1998Testimony Before the Committee on Banking, Housing, and Urban Affairs145 cited
  • 2005Fussing and Fuming over Fannie and Freddie: How Much Smoke, How Much Fire?144 cited
  • 2003The Interest Rate Risk of Fannie Mae and Freddie Mac93 cited
  • 2002Measuring Potential GSE Funding Advantages48 cited
  • 2002Debt Spreads Between GSEs and Other Corporations46 cited
  • 2002Implications of the New Fannie Mae and Freddie Mac Risk-based Capital Standard34 cited

Cited by

  • 2019Bank Risk Dynamics and Distance to Default32 cited

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