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Using Loan Rates to Measure and Regulate Bank Risk: Findings and an Immodest Proposal

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  • Donald Morgan
  • Adam Ashcraft

Abstract

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File URL: http://hdl.handle.net/10.1023/B:FINA.0000003322.43105.33
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Bibliographic Info

Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 24 (2003)
Issue (Month): 2 (October)
Pages: 181-200

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Handle: RePEc:kap:jfsres:v:24:y:2003:i:2:p:181-200

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Web page: http://www.springerlink.com/link.asp?id=102934

Related research

Keywords: Deposit insurance reform; credit risk pricing; risk-based capital regulation.;

References

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  1. Robert B. Avery & Michael Gordy, . "Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data," Computing in Economics and Finance 1997 95, Society for Computational Economics.
  2. Hannan, Timothy H., 1991. "Bank commercial loan markets and the role of market structure: evidence from surveys of commercial lending," Journal of Banking & Finance, Elsevier, vol. 15(1), pages 133-149, February.
  3. William B. English & William R. Nelson, 1998. "Bank risk rating of business loans," Finance and Economics Discussion Series 1998-51, Board of Governors of the Federal Reserve System (U.S.).
  4. R. Alton Gilbert & Andrew P. Meyer & Mark D. Vaughan, 2000. "The role of a CAMEL downgrade model in bank surveillance," Working Papers 2000-021, Federal Reserve Bank of St. Louis.
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Cited by:
  1. Giovanni Dell'Ariccia & Luc Laeven & Gustavo Suarez, 2013. "Bank Leverage and Monetary Policy's Risk-Taking Channel," IMF Working Papers 13/143, International Monetary Fund.
  2. Sherrill Shaffer, 2008. "Financial Performance Of Small Business Loans: Indirect Evidence," CAMA Working Papers 2008-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  3. Dilip Madan & George Pennacchi, 2003. "Introduction: Special Issue on Pricing the Risks of Deposit Insurance," Journal of Financial Services Research, Springer, vol. 24(2), pages 89-92, October.
  4. Allen N. Berger & Marco A. Espinosa-Vega & W. Scott Frame & Nathan H. Miller, 2005. "Debt Maturity, Risk, and Asymmetric Information," Journal of Finance, American Finance Association, vol. 60(6), pages 2895-2923, December.
  5. Pennacchi, George, 2006. "Deposit insurance, bank regulation, and financial system risks," Journal of Monetary Economics, Elsevier, vol. 53(1), pages 1-30, January.
  6. Allen N. Berger, 2004. "Potential competitive effects of Basel II on banks in SME credit markets in the United States," Finance and Economics Discussion Series 2004-12, Board of Governors of the Federal Reserve System (U.S.).
  7. Mark Carey & Greg Nini, 2004. "Is the corporate loan market globally integrated? a pricing puzzle," International Finance Discussion Papers 813, Board of Governors of the Federal Reserve System (U.S.).
  8. Smith, R. Todd & van Egteren, Henry, 2005. "Interest rate smoothing and financial stability," Review of Financial Economics, Elsevier, vol. 14(2), pages 147-171.
  9. Vickery, James, 2008. "How and why do small firms manage interest rate risk," Journal of Financial Economics, Elsevier, vol. 87(2), pages 446-470, February.
  10. James Vickery, 2005. "How and why do small firms manage interest rate risk? Evidence from commercial loans," Staff Reports 215, Federal Reserve Bank of New York.

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