Using the Arbitrage Pricing Theory to Calculate the Probability of Financial Institution Failure: A Note
AbstractWhere regulation is deemed desirable by authorities and where a risk based approach is preferred, how do regulators assess the riskiness inherent in a financial institution's balance sheet? A market measure of the probability of financial institution failure is developed in this paper. This measure incorporates the arbitrage pricing theory of Stephen A. Ross (1976), thus allowing for the inclusion of systematic sources of risk. Copyright 1995 by Ohio State University Press.
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Bibliographic InfoArticle provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.
Volume (Year): 27 (1995)
Issue (Month): 3 (August)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879
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- Tabak, Benjamin M. & Luduvice, André Victor D. & Cajueiro, Daniel O., 2011. "Modeling default probabilities: The case of Brazil," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 513-534, October.
- Tabak, Benjamin M. & Staub, Roberta B., 2007. "Assessing financial instability: The case of Brazil," Research in International Business and Finance, Elsevier, vol. 21(2), pages 188-202, June.
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