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Skewness of Returns, Capital Adequacy, and Mortgage Lending


  • Paraskevi Dimou
  • Colin Lawrence
  • Alistair Milne



No abstract is available for this item.

Suggested Citation

  • Paraskevi Dimou & Colin Lawrence & Alistair Milne, 2005. "Skewness of Returns, Capital Adequacy, and Mortgage Lending," Journal of Financial Services Research, Springer;Western Finance Association, vol. 28(1), pages 135-161, October.
  • Handle: RePEc:kap:jfsres:v:28:y:2005:i:1:p:135-161 DOI: 10.1007/s10693-005-4359-1

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    References listed on IDEAS

    1. Milne, Alistair, 2002. "Bank capital regulation as an incentive mechanism: Implications for portfolio choice," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 1-23, January.
    2. Estrella, Arturo, 2004. "The cyclical behavior of optimal bank capital," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1469-1498, June.
    3. Carey, Mark, 2002. "A guide to choosing absolute bank capital requirements," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 929-951, May.
    4. Merton, Robert C., 1977. "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 3-11, June.
    5. Jones, David, 2000. "Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 35-58, January.
    6. Gorton, Gary & Pennacchi, George, 1990. " Financial Intermediaries and Liquidity Creation," Journal of Finance, American Finance Association, vol. 45(1), pages 49-71, March.
    7. Calomiris, Charles W & Kahn, Charles M, 1991. "The Role of Demandable Debt in Structuring Optimal Banking Arrangements," American Economic Review, American Economic Association, vol. 81(3), pages 497-513, June.
    8. Mark S. Carey, 2002. "A guide to choosing absolute bank capital requirements," International Finance Discussion Papers 726, Board of Governors of the Federal Reserve System (U.S.).
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    Cited by:

    1. Palmroos, Peter, 2009. "Effects of unobserved defaults on correlation between probability of default and loss given on mortgage loans," Research Discussion Papers 3/2009, Bank of Finland.
    2. Allen, Bill & Chan, Ka Kei & Milne, Alistair & Thomas, Steve, 2012. "Basel III: Is the cure worse than the disease?," International Review of Financial Analysis, Elsevier, vol. 25(C), pages 159-166.
    3. Rodriguez, Adolfo & Trucharte, Carlos, 2007. "Loss coverage and stress testing mortgage portfolios: A non-parametric approach," Journal of Financial Stability, Elsevier, vol. 3(4), pages 342-367, December.


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