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A contingent claim analysis of a regulated depository institution

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  • Crouhy, Michel
  • Galai, Dan
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 15 (1991)
    Issue (Month): 1 (February)
    Pages: 73-90

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    Handle: RePEc:eee:jbfina:v:15:y:1991:i:1:p:73-90

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    Web page: http://www.elsevier.com/locate/jbf

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    Cited by:
    1. Barucci, Emilio & Del Viva, Luca, 2012. "Countercyclical contingent capital," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1688-1709.
    2. Moshe Buchinsky & Oved Yosha, 1995. "Evaluating the Probability of Failure of a Banking Firm," Cowles Foundation Discussion Papers 1108, Cowles Foundation for Research in Economics, Yale University.
    3. Lin, Jyh-Horng, 2000. "A contingent claim analysis of a rate-setting financial intermediary," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 375-386, October.
    4. Dermine, Jean & Lajeri, Fatma, 2001. "Credit risk and the deposit insurance premium: a note," Journal of Economics and Business, Elsevier, vol. 53(5), pages 497-508.
    5. Chen, Andrew H. & Hung, Mao-Wei & Mazumdar, Sumon C., 1995. "Loan covenants and corporate debt policy under bank regulations," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1419-1436, November.
    6. Anlong Li & Peter Ritchken & L. Sankarasubramanian & James B. Thomson, 1995. "Regulatory taxes, investment and financing decisions for insured banks," Proceedings 477, Federal Reserve Bank of Chicago.
    7. Hasan , Iftekhar & Sarkar, Sudipto, 2002. "Banks’ option to lend, interest rate sensitivity, and credit availability," Research Discussion Papers 15/2002, Bank of Finland.
    8. Peter Ritchken & James Thomson & Ivilina Popova, 1995. "The changing role of banks and the changing value of deposit guarantees," Working Paper 9502, Federal Reserve Bank of Cleveland.
    9. Georges Dionne, 2003. "The Foundationsof Banks' Risk Regulation: A Review of Literature," THEMA Working Papers 2003-46, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    10. Episcopos, Athanasios, 2008. "Bank capital regulation in a barrier option framework," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1677-1686, August.
    11. Jin-Chuan, Duan & Moreau, Arthur F. & Sealey, C. W., 1995. "Deposit insurance and bank interest rate risk: Pricing and regulatory implications," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1091-1108, September.
    12. Alistair Milne & A Elizabeth Whalley, 1999. "Bank capital and risk taking," Bank of England working papers 90, Bank of England.

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