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A market evaluation of the risk-based capital standards for the U.S. financial system

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  • Cordell, Lawrence R.
  • King, Kathleen Kuester
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-3YB56SM-1P/2/351844bb27abdc9539dfcbe05b22f614
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    Bibliographic Info

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

    Volume (Year): 19 (1995)
    Issue (Month): 3-4 (June)
    Pages: 531-562

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    Handle: RePEc:eee:jbfina:v:19:y:1995:i:3-4:p:531-562

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

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    References

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    1. MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September.
    2. Merton, Robert C., 1977. "On the cost of deposit insurance when there are surveillance costs," Working papers 903-77., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    3. Robert B. Avery & Allen N. Berger, 1990. "Loan commitments and bank risk exposure," Working Paper 9015, Federal Reserve Bank of Cleveland.
    4. Ronn, Ehud I. & Verma, Avinash K., 1989. "Risk-based capital adequacy standards for a sample of 43 major banks," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 21-29, March.
    5. Berger, Allen N. & King, Kathleen Kuester & O'Brien, James M., 1991. "The limitations of market value accounting and a more realistic alternative," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 753-783, September.
    6. Robert B. Avery & Allen N. Berger, 1990. "Risk-based capital and deposit insurance reform," Working Paper 9101, Federal Reserve Bank of Cleveland.
    7. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-84, March.
    8. King, Kathleen Kuester & O'Brien, James M., 1991. "Market-based, risk-adjusted examination schedules for depository institutions," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 955-974, September.
    9. Kathleen A. Kuester & James M. O'Brien, 1991. "Market-based deposit insurance premiums: an evaluation," Finance and Economics Discussion Series 150, Board of Governors of the Federal Reserve System (U.S.).
    10. Merton, Robert C., 1977. "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 3-11, June.
    11. Bradley, Michael G. & Wambeke, Carol A. & Whidbee, David A., 1991. "Risk weights, risk-based capital and deposit insurance," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 875-893, September.
    12. Lawrence R. Cordell & Kathleen Kuester King, 1992. "A market evaluation of the risk-based capital standards for the U.S. financial system," Finance and Economics Discussion Series 189, Board of Governors of the Federal Reserve System (U.S.).
    13. Mark E. Levonian, 1991. "Have large banks become riskier? recent evidence from option markets," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 3-17.
    14. Ronald Giammarino & Eduardo Schwartz & Josef Zechner, 1989. "Market Valuation of Bank Assets and Deposit Insurance in Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 22(1), pages 109-27, February.
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    Cited by:
    1. Berger, Allen N. & Herring, Richard J. & Szego, Giorgio P., 1995. "The role of capital in financial institutions," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 393-430, June.
    2. Allen N. Berger & Robert DeYoung, 1997. "Problem loans and cost efficiency in commercial banks," Finance and Economics Discussion Series 1997-8, Board of Governors of the Federal Reserve System (U.S.).
    3. Grenadier, Steven R. & Hall, Brian J., 1996. "Risk-based capital standards and the riskiness of bank portfolios: Credit and factor risks," Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 433-464, June.

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