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Applying credit risk models to deposit insurance pricing: Empirical evidence from the Italian banking system
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Applying credit risk models to deposit insurance pricing: Empirical evidence from the Italian banking system (2004)Applying credit risk models to deposit in…A Monetary History of the United States, 1867-1960 (2017)A Monetary History of the Uni…The Information Content of Bank Exam Ratings and Subordinated Debt Prices (2001)The Information Content of Ba…Sub-debt Yield Spreads as Bank Risk Measures (2001)Sub-debt Yield Spreads as Ban…Parameterizing credit risk models with rating data (2001)Parameterizing credit risk mo…Modelling dependent defaults (2001)Modelling dependent defaultsTesting for Market Discipline in the European Banking Industry: Evidence from Subordinated Debt Issues (2000)Testing for Market Discipline…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Internal Credit Risk Models: Capital Allocation and Performance Measurement (1999)Internal Credit Risk Models: …A GENERALIZED FRAMEWORK FOR CREDIT RISK PORTFOLIO MODELS (1999)A GENERALIZED FRAMEWORK FOR C…Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991 (1996)Evidence of Bank Market Disci…A Reexamination of the Over- (or Under-) Pricing of Deposit Insurance (1987)A Reexamination of the Over- …Pricing Risk‐Adjusted Deposit Insurance: An Option‐Based Model (1986)Pricing Risk‐Adjusted Deposit…Bank Runs, Deposit Insurance, and Liquidity (1983)Bank Runs, Deposit Insurance,…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…A Monetary History of the United States, 1867-1960 (1964)A Monetary History of the Uni…The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)Comparing Market and Supervisory Assessments of Bank Performance: Who Knows What When? (2000)Equity and Bond Market Signals as Leading Indicators of Bank Fragility (2002)Supervisory Effectiveness and Bank Risk (2011)A Tale of Two Runs: Depositor Responses to Bank Solvency Risk (2016)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)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)Modern Portfolio Theory and Investment Analysis. (1982)Economic Forces and the Stock Market (1986)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Risk Assessment for Banking Systems (2006)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Deposit Insurance, Risk, and Market Power in Banking (1988)Market discipline and deposit insurance (2004)Measuring Abnormal Bond Performance (2008)The Determinants of Bank Capital Structure (2010)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation and Delegated Monitoring (1984)Financial Contagion (2000)Market Liquidity and Funding Liquidity (2008)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Using Market Information in Prudential Bank Supervision: A Review of the U.S. Empirical Evidence (1998)Testing for Opaqueness in the European Banking Industry: Evidence from Bond Credit Ratings (2006)Are Banks Too Big To Fail Or Too Big To Save ? International Evidence From Equity Prices And CDS Spreads (2010)A Monetary History of the United States 1867-1960 (1964)Trends and random walks in macroeconomic time series (1988)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Why Does Stock Market Volatility Change Over Time? (1989)Equilibria under ‘active’ and ‘passive’ monetary and fiscal policies (1991)Economic Freedom of the World: 2022 Annual Report (2022)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1983Bank Runs, Deposit Insurance, and Liquidity9,689 cited
  • 2017A Monetary History of the United States, 1867-19602,467 cited
  • 1964A Monetary History of the United States, 1867-19601,752 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 1986Pricing Risk‐Adjusted Deposit Insurance: An Option‐Based Model709 cited
  • 1996Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991691 cited
  • 2001The Information Content of Bank Exam Ratings and Subordinated Debt Prices226 cited
  • 2000Testing for Market Discipline in the European Banking Industry: Evidence from Subordinated Debt Issues226 cited
  • 1987A Reexamination of the Over- (or Under-) Pricing of Deposit Insurance220 cited
  • 2001Parameterizing credit risk models with rating data196 cited
  • 2001Sub-debt Yield Spreads as Bank Risk Measures170 cited
  • 2001Modelling dependent defaults122 cited
  • 1999Internal Credit Risk Models: Capital Allocation and Performance Measurement69 cited

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  • 1999A GENERALIZED FRAMEWORK FOR CREDIT RISK PORTFOLIO MODELS57 cited
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