Have large banks become riskier? recent evidence from option markets
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Volume (Year): (1991)
Issue (Month): Fall ()
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- Carolin D. Schellhorn & Lewis J. Spellman, 1991. "Subordinated debt market information and the pricing of deposit insurance," Proceedings 327, Federal Reserve Bank of Chicago.
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"Aggregate deposit insurance funding and taxpayer bailouts,"
90-14, Federal Reserve Bank of Philadelphia.
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- G. William Schwert, 1990.
"Stock Volatility and the Crash of '87,"
NBER Working Papers
2954, National Bureau of Economic Research, Inc.
- 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.).
- Day, Theodore E. & Lewis, Craig M., 1988. "The behavior of the volatility implicit in the prices of stock index options," Journal of Financial Economics, Elsevier, vol. 22(1), pages 103-122, October.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
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American Finance Association, vol. 29(2), pages 449-70, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Schmalensee, Richard & Trippi, Robert R, 1978. "Common Stock Volatility Expectations Implied by Option Premia," Journal of Finance, American Finance Association, vol. 33(1), pages 129-47, March.
- Frederick T. Furlong, 1988. "Changes in bank risk," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar25.
- Barone-Adesi, Giovanni & Whaley, Robert E, 1987. " Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-20, June.
- Smith, Clifford Jr., 1976. "Option pricing : A review," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 3-51.
- Latane, Henry A & Rendleman, Richard J, Jr, 1976. "Standard Deviations of Stock Price Ratios Implied in Option Prices," Journal of Finance, American Finance Association, vol. 31(2), pages 369-81, May.
- Jonathan A. Neuberger, 1991. "Risk and return in banking: evidence from bank stock returns," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 18-30.
- 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 871-95, September.
- Keeley, Michael C, 1990. "Deposit Insurance, Risk, and Market Power in Banking," American Economic Review, American Economic Association, vol. 80(5), pages 1183-1200, December.
- 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.
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