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Have large banks become riskier? recent evidence from option markets

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  • Mark E. Levonian

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  • Mark E. Levonian, 1991. "Have large banks become riskier? recent evidence from option markets," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 3-17.
    • Handle: RePEc:fip:fedfer:y:1991:i:fall:p:3-17
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    References listed on IDEAS

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    1. 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.
    2. Shaffer, Sherrill, 1991. "Aggregate deposit insurance funding and taxpayer bailouts," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 1019-1037, September.
    3. 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.
    4. Black, Fischer & Scholes, Myron S, 1972. "The Valuation of Option Contracts and a Test of Market Efficiency," Journal of Finance, American Finance Association, vol. 27(2), pages 399-417, May.
    5. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    6. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
    7. Schmalensee, Richard & Trippi, Robert R, 1978. "Common Stock Volatility Expectations Implied by Option Premia," Journal of Finance, American Finance Association, vol. 33(1), pages 129-147, March.
    8. Sarah B. Kendall & Mark E. Levonian, 1991. "A simple approach to better deposit insurance pricing," Proceedings 335, Federal Reserve Bank of Chicago.
    9. 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.).
    10. 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.
    11. Carolin D. Schellhorn & Lewis J. Spellman, 1991. "Subordinated debt market information and the pricing of deposit insurance," Proceedings 327, Federal Reserve Bank of Chicago.
    12. Frederick T. Furlong, 1988. "Changes in bank risk," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar25.
    13. 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.
    14. McDonald, Robert & Siegel, Daniel, 1984. "Option Pricing When the Underlying Asset Earns a Below-Equilibrium Rate of Return: A Note," Journal of Finance, American Finance Association, vol. 39(1), pages 261-265, March.
    15. Smith, Clifford Jr., 1976. "Option pricing : A review," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 3-51.
    16. 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.
    17. 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 369-381, May.
    18. 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.
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    Cited by:

    1. Marianne Gizycki & Mark Levonian, 1993. "A Decade of Australian Banking Risk: Evidence from Share Prices," RBA Research Discussion Papers rdp9302, Reserve Bank of Australia.
    2. International Monetary Fund, 2009. "South Africa: Selected Issues," IMF Staff Country Reports 2009/276, International Monetary Fund.
    3. Cordell, Lawrence R. & King, Kathleen Kuester, 1995. "A market evaluation of the risk-based capital standards for the U.S. financial system," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 531-562, June.
    4. Frederick T. Furlong & Mark E. Levonian, 1995. "Reduced deposit insurance risk," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue feb24.
    5. Burcu Aydin & Mr. Myeongsuk Kim & Mr. Ho-Seong Moon, 2011. "Financial Linkages Across Korean Banks," IMF Working Papers 2011/201, International Monetary Fund.
    6. Mr. Leonardo Luna & Mr. Dale F Gray & Jorge Restrepo & Carlos Garcia, 2011. "Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile," IMF Working Papers 2011/228, International Monetary Fund.
    7. Pamela P. Peterson & Larry D. Wall, 1996. "Banks' responses to binding regulatory capital requirements," Economic Review, Federal Reserve Bank of Atlanta, vol. 80(Mar), pages 1-17.

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    Keywords

    options; Risk; Banks and banking;
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