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Estimating the Value and Interest Rate Risk of Interest-Bearing Transactions Deposits
16 references·2 citing·45 second hop
Estimating the Value and Interest Rate Risk of Interest-Bearing Transactions Deposits (2000)Estimating the Value and Interest Rate Ri…The Value of Guarantees on Pension Fund Returns (1999)The Value of Guarantees on Pe…Stochastic duration and fast coupon bond option pricing in multi-factor models (1999)Stochastic duration and fast …Deposits and Relationship Lending (1999)Deposits and Relationship Len…Bank Deposit Rate Clustering: Theory and Empirical Evidence (1999)Bank Deposit Rate Clustering:…The arbitrage-free valuation and hedging of demand deposits and credit card loans (1998)The arbitrage-free valuation …The Effect of Consumer Switching Costs on Prices: A Theory and its Application to the Bank Deposit Market (1997)The Effect of Consumer Switch…Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits (1996)Measuring Rents and Interest …Retail Bank Deposit Pricing: An Intertemporal Asset Pricing Approach (1995)Retail Bank Deposit Pricing: …Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Maximum Likelihood Estimation…Market Structure and the Nature of Price Rigidity: Evidence from the Market for Consumer Deposits (1992)Market Structure and the Natu…Deposit Banks and the Market for Payment Media (1992)Deposit Banks and the Market …The Rigidity of Prices: Evidence from the Banking Industry (1991)The Rigidity of Prices: Evide…Modeling the disaggregated demands for M2 and M1: the U.S. experience in the 1980s (1990)Modeling the disaggregated de…The Price-Concentration Relationship in Banking (1989)The Price-Concentration Relat…Returns to Acquirers and Competition in the Acquisition Market: The Case of Banking (1987)Returns to Acquirers and Comp…Duration and the Measurement of Basis Risk (1979)Duration and the Measurement …Government Guarantees and the Valuation of American Banks (2018)Government Guarantees and the…Valuing Core Deposits (2012)Valuing Core DepositsSticky Prices in the United States (1982)What's different about banks? (1985)Regulations, Market Structure, Institutions, and the Cost of Financial Intermediation (2003)Asymmetric Price Transmission: A Survey (2004)Bank Concentration and Competition: An Evolution in the Making (2004)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Deposit market competition, wholesale funding, and bank risk (2013)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Common Factors Affecting Bond Returns (1991)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)The Term Structure of Real Rates and Expected Inflation (2007)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Value and Capital (1939)Duration Forty Years Later (1978)A Multivariate Model of the Term Structure (1980)Theory of rational option pricing (2005)Asymmetric stock market volatility and the cyclical behavior of expected returns (2007)Industrial Market Structure and Economic Performance. (1971)The gains to bidding firms from merger (1983)The market for corporate control (1983)Mergers and the Value of Antitrust Deterrence (1992)Incentives for Banking Megamergers: What Motives Might Regulators Infer from Event-Study Evidence? (2000)The Impact of Supervision on Bank Performance (2020)Limited-dependent and qualitative variables in econometrics (1983)Financial Intermediation and Delegated Monitoring (1984)How Do Banks Set Interest Rates? (2004)Regulations, Market Structure, Institutions, and the Cost of Financial Intermediation (2004)Insiders and Outsiders: The Choice between Informed and Arm's-Length Debt (1992)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)The economics of small business finance: The roles of private equity and debt markets in the financial growth cycle (1998)The determinants of bank margins in European banking (2007)Lending relationships in the interbank market (2008)Real interest rates, leverage, and bank risk-taking (2013)The Failure of Competition in the Credit Card Market (1991)Industrial Organization of Banking: A Review (1998)Structure and Profitability in Banking Markets (2002)Do switching costs make markets more or less competitive? The case of 800‐number portability (2007)Monopolistic Competition with Outside Goods (1979)Herd Behavior and Cascading in Capital Markets: A Review and Synthesis (2002)Clustering in US Stock Prices after Decimalisation (2007)Penny Wise, Dollar Foolish: Buy–Sell Imbalances On and Around Round Numbers (2011)The dominance of inefficiencies over scale and product mix economies in banking (1991)The profitability of european banks: a cross‐sectional and dynamic panel analysis (2004)
this work references cited by second hop

References

  • 1989The Price-Concentration Relationship in Banking903 cited
  • 1991The Rigidity of Prices: Evidence from the Banking Industry778 cited
  • 1992Market Structure and the Nature of Price Rigidity: Evidence from the Market for Consumer Deposits690 cited
  • 1993Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates552 cited
  • 1999Deposits and Relationship Lending541 cited
  • 1979Duration and the Measurement of Basis Risk225 cited
  • 1997The Effect of Consumer Switching Costs on Prices: A Theory and its Application to the Bank Deposit Market192 cited
  • 1987Returns to Acquirers and Competition in the Acquisition Market: The Case of Banking175 cited
  • 1996Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits127 cited
  • 1999Bank Deposit Rate Clustering: Theory and Empirical Evidence124 cited
  • 1998The arbitrage-free valuation and hedging of demand deposits and credit card loans120 cited
  • 1999The Value of Guarantees on Pension Fund Returns84 cited
  • 1995Retail Bank Deposit Pricing: An Intertemporal Asset Pricing Approach82 cited
  • 1992Deposit Banks and the Market for Payment Media80 cited
  • 1999

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Stochastic duration and fast coupon bond option pricing in multi-factor models
80 cited
  • 1990Modeling the disaggregated demands for M2 and M1: the U.S. experience in the 1980s39 cited
  • Cited by

    • 2012Valuing Core Deposits33 cited
    • 2018Government Guarantees and the Valuation of American Banks25 cited