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Subordinated debt prices and forward-looking estimates of bank asset volatility

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  • Schellhorn, Carolin D.
  • Spellman, Lewis J.

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  • Schellhorn, Carolin D. & Spellman, Lewis J., 1996. "Subordinated debt prices and forward-looking estimates of bank asset volatility," Journal of Economics and Business, Elsevier, vol. 48(4), pages 337-347, October.
    • Handle: RePEc:eee:jebusi:v:48:y:1996:i:4:p:337-347
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    References listed on IDEAS

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    1. Shaffer, Sherrill, 1991. "Aggregate deposit insurance funding and taxpayer bailouts," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 1019-1037, September.
    2. Sarah B. Kendall & Mark E. Levonian, 1991. "A simple approach to better deposit insurance pricing," Proceedings 335, Federal Reserve Bank of Chicago.
    3. Schwert, G William, 1990. "Stock Volatility and the Crash of '87," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102.
    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. Sherrill Shaffer, 1991. "The impact of premium rates and rebates on the solvency of the FDIC Reserve Fund: an empirical approach," Proceedings 334, Federal Reserve Bank of Chicago.
    6. Boyle, Phelim P. & Ananthanarayanan, A. L., 1977. "The impact of variance estimation in option valuation models," Journal of Financial Economics, Elsevier, vol. 5(3), pages 375-387, December.
    7. Kendall, Sarah B. & Levonian, Mark E., 1991. "A simple approach to better deposit insurance pricing," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 999-1018, September.
    8. Ronn, Ehud I & Verma, Avinash K, 1986. "Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model," Journal of Finance, American Finance Association, vol. 41(4), pages 871-895, September.
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    Cited by:

    1. Markus R. Kosters & Stefan T.M. Streatmans & Mario Maggi, 2011. "Pricing Full Deposit Insurance in Germany amidst the Financial Crisis 2008-2010," Quaderni di Dipartimento 143, University of Pavia, Department of Economics and Quantitative Methods.
    2. Rong Fan & Joseph Haubrich & Peter Ritchken & James Thomson, 2003. "Getting the Most Out of a Mandatory Subordinated Debt Requirement," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 149-179, October.

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