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A contingent claim analysis of a regulated depository institution
16 references·2 citing·33 second hop
A contingent claim analysis of a regulated depository institution (1991)A contingent claim analysis of a regulate…Theory of rational option pricing (2005)Theory of rational option pri…On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance (1989)On the Application of the Con…Pricing Risk‐Adjusted Deposit Insurance: An Option‐Based Model (1986)Pricing Risk‐Adjusted Deposit…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Displaced Diffusion Option Pricing (1983)Displaced Diffusion Option Pr…Regulation of Bank Capital and Portfolio Risk (1980)Regulation of Bank Capital an…Banking in the theory of finance (1980)Banking in the theory of fina…On the Cost of Deposit Insurance When There Are Surveillance Costs (1978)On the Cost of Deposit Insura…Deposit Insurance and Bank Regulation: A Partial-Equilibrium Exposition (1978)Deposit Insurance and Bank Re…Capital adequacy and the regulation of financial intermediaries (1977)Capital adequacy and the regu…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 valuation of options for alternative stochastic processes (1976)The valuation of options for …On the Application of Portfolio Theory to Depository Financial Intermediaries (1974)On the Application of Portfol…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)ON THE THEORY OF FINANCIAL IN…A Theory of the Banking Firm (1971)A Theory of the Banking FirmBank capital regulation in a barrier option framework (2008)Bank capital regulation in a …THEORIES OF THE BANKING FIRM: A REVIEW OF THE LITERATURE* (1996)THEORIES OF THE BANKING FIRM:…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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)Loan Sales and the Cost of Bank Capital (1988)Noninterest Income and Financial Performance at U.S. Commercial Banks (2004)The cost of capital, corporation finance and the theory of investment (2008)The effects of focus versus diversification on bank performance: Evidence from Chinese banks (2010)Risk Aversion in the Small and in the Large (1964)The Economic Theory of Agency: The Principal's Problem. (1973)Risk Aversion in the Small and in the Large (1976)Capital regulation and bank risk-taking: A note (1989)The relationship between risk and capital in commercial banks (1992)The role of capital in financial institutions (1995)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)The Rigidity of Prices: Evidence from the Banking Industry (1991)Capital requirements and the behaviour of commercial banks (1992)The Seeds of a Crisis: A Theory of Bank Liquidity and Risk-Taking Over the Business Cycle (2011)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)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)A reexamination of mean-variance analysis of bank capital regulation (1990)The Impact of Capital-Based Regulation on Bank Risk-Taking (1999)Bank Bailouts and Moral Hazard: Evidence from Germany (2012)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory1,923 cited
  • 1980Regulation of Bank Capital and Portfolio Risk973 cited
  • 1980Banking in the theory of finance863 cited
  • 1971A Theory of the Banking Firm772 cited
  • 1986Pricing Risk‐Adjusted Deposit Insurance: An Option‐Based Model709 cited
  • 1978Deposit Insurance and Bank Regulation: A Partial-Equilibrium Exposition451 cited
  • 1978On the Cost of Deposit Insurance When There Are Surveillance Costs395 cited
  • 1977Capital adequacy and the regulation of financial intermediaries357 cited
  • 1971ON THE THEORY OF FINANCIAL INTERMEDIATION283 cited
  • 1983Displaced Diffusion Option Pricing247 cited
  • 1974On the Application of Portfolio Theory to Depository Financial Intermediaries197 cited
  • 1989

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On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance
184 cited

Cited by

  • 1996THEORIES OF THE BANKING FIRM: A REVIEW OF THE LITERATURE*64 cited
  • 2008Bank capital regulation in a barrier option framework57 cited