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The term structure of banking crisis risk in the United States: A market data based compound option approach
16 references·0 citing·33 second hop
The term structure of banking crisis risk in the United States: A market data based compound option approach (2010)The term structure of banking crisis risk…Merton, Robert C. (2010)Merton, Robert C.Comparing early warning systems for banking crises (2008)Comparing early warning syste…Comparing the performance of market-based and accounting-based bankruptcy prediction models (2007)Comparing the performance of …Cross-Country Empirical Studies of Systemic Bank Distress: A Survey (2005)Cross-Country Empirical Studi…Using Market Information in Prudential Bank Supervision: A Review of the U.S. Empirical Evidence (1998)Using Market Information in P…The Determinants of Banking Crises (1997)The Determinants of Banking C…Design and Valuation of Debt Contracts (1996)Design and Valuation of Debt …A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Bank Runs, Deposit Insurance, and Liquidity (1983)Bank Runs, Deposit Insurance,…The valuation of compound options (1979)The valuation of compound opt…The Valuation of Corporate Liabilities as Compound Options (1977)The Valuation of Corporate Li…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Rational Option Pricing (1973)Presidential Address: Discount Rates (2011)The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011)Stock Market Volatility and Macroeconomic Fundamentals (2012)Determinants of corporate borrowing (1977)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)Irreversibility, Uncertainty, and Investment (1990)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation and Delegated Monitoring (1984)Financial intermediation and growth: Causality and causes (2000)Market Liquidity and Funding Liquidity (2008)A Monetary History of the United States, 1867-1960 (2017)The cost of capital, corporation finance and the theory of investment (2008)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)Why Does Stock Market Volatility Change Over Time? (1989)The Determinants of Credit Spread Changes (2001)Theory of Financial Decision Making. (1988)Explaining the Rate Spread on Corporate Bonds (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,052 cited
  • 1983Bank Runs, Deposit Insurance, and Liquidity9,689 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,389 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,099 cited
  • 1979The valuation of compound options1,107 cited
  • 1977The Valuation of Corporate Liabilities as Compound Options830 cited
  • 2010Merton, Robert C.816 cited
  • 1998Using Market Information in Prudential Bank Supervision: A Review of the U.S. Empirical Evidence674 cited
  • 1996Design and Valuation of Debt Contracts591 cited
  • 2007Comparing the performance of market-based and accounting-based bankruptcy prediction models584 cited
  • 1997The Determinants of Banking Crises499 cited
  • 2005Cross-Country Empirical Studies of Systemic Bank Distress: A Survey463 cited

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Comparing early warning systems for banking crises
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