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Calculating the probability of failure of the Norwegian banking sector

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  • Andrew Clare
  • Richard Priestley

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Bibliographic Info

Paper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series CERF Discussion Paper Series with number 97-02.

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Handle: RePEc:bru:brucer:97-02

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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK

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References

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  1. Christie, Andrew A., 1982. "The stochastic behavior of common stock variances : Value, leverage and interest rate effects," Journal of Financial Economics, Elsevier, vol. 10(4), pages 407-432, December.
  2. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
  3. Slovin, Myron B & Sushka, Marie E & Polonchek, John A, 1993. " The Value of Bank Durability: Borrowers as Bank Stakeholders," Journal of Finance, American Finance Association, vol. 48(1), pages 247-66, March.
  4. Wall, Larry D. & Peterson, David R., 1990. "The effect of Continental Illinois' failure on the financial performance of other banks," Journal of Monetary Economics, Elsevier, vol. 26(1), pages 77-99, August.
  5. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
  6. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  7. Santomero, Anthony M. & Vinso, Joseph D., 1977. "Estimating the probability of failure for commercial banks and the banking system," Journal of Banking & Finance, Elsevier, vol. 1(2), pages 185-205, October.
  8. Timothy H. Hannan & Gerald A. Hanweck, 1986. "Bank insolvency risk and the market for large certificates of deposit," Working Papers in Banking, Finance and Microeconomics 86-1, Board of Governors of the Federal Reserve System (U.S.).
  9. Swary, Itzhak, 1986. "Stock Market Reaction to Regulatory Action in the Continental Illinois Crisis," The Journal of Business, University of Chicago Press, vol. 59(3), pages 451-73, July.
  10. Aharony, Joseph & Swary, Itzhak, 1983. "Contagion Effects of Bank Failures: Evidence from Capital Markets," The Journal of Business, University of Chicago Press, vol. 56(3), pages 305-22, July.
  11. Aharony, Joseph & Swary, Itzhak, 1996. "Additional evidence on the information-based contagion effects of bank failures," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 57-69, January.
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Cited by:
  1. Marcelo Yoshio Takami & Benjamin Miranda Tabak, 2006. "Avaliação Do Risco Sistêmico Do Setor Bancário Brasileiro," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 96, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  2. Byström, Hans, 2003. "The Market’s View on the Probability of Banking Sector Failure: Cross-Country Comparisons," Working Papers 2003:2, Lund University, Department of Economics.
  3. 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.
  4. Byström, Hans N. E., 2005. "Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market," Working Papers 2005:24, Lund University, Department of Economics, revised 15 May 2005.
  5. Jo-Hui Chen & Chih-Sean Chen, 2011. "The effects of international off-site surveillance on bank rating changes," Quality & Quantity: International Journal of Methodology, Springer, vol. 45(6), pages 1313-1329, October.

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