Dynamic modelling of bank profits
A topical issue in financial economics is the development of a stochastic dynamic model for bank behaviour. Under the assumption that the loan market is imperfectly competitive, we investigate the evolution of banking items such as loans, provisions for loan losses and deposit withdrawals, Treasuries and deposits and their relationship with profit. A motivation for studying this type of problem is the need to generalize the more traditional discrete-time models that are being used in the majority of studies that analyse banks and their operational idiosyncracies. An important outcome of our research is an explicit model for bank profit based solely on the stochastic dynamics of bank assets (loans, Treasuries and reserves) and liabilities (deposits). By way of conclusion, we provide a brief discussion of some of the economic aspects of the dynamic bank modelling undertaken in the main body of the article.
Volume (Year): 4 (2008)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFL20 |
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFL20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dirk Hackbarth & Jianjun Miao & Erwan Morellec, 2004.
"Capital Structure, Credit Risk, and Macroeconomic Conditions,"
FAME Research Paper Series
rp125, International Center for Financial Asset Management and Engineering.
- Hackbarth, Dirk & Miao, Jianjun & Morellec, Erwan, 2006. "Capital structure, credit risk, and macroeconomic conditions," Journal of Financial Economics, Elsevier, vol. 82(3), pages 519-550, December.
- Dirk Hackbarth & Jianjun Miao & Erwan Morellec, 2005. "Capital Structure, Credit Risk, and Macroeconomic Conditions," CEMA Working Papers 439, China Economics and Management Academy, Central University of Finance and Economics.
- Dirk Hackbarth & Junjian Miao & Erwan Morellec, 2005. "Capital Structure, Credit Risk, and Macroeconomic Conditions," Boston University - Department of Economics - Macroeconomics Working Papers Series WP2005-005, Boston University - Department of Economics.
- G. E. Halkos & M. N. Georgiou, 2005. "Bank sales, spread and profitability: an empirical analysis," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(5), pages 293-296, September.
- Andrea Gheno, 2007.
"Corporate valuations and the Merton model,"
Applied Financial Economics Letters,
Taylor and Francis Journals, vol. 3(1), pages 47-50, January.
- Andrea Gheno, 2005. "Corporate valuations and the merton model," Departmental Working Papers of Economics - University 'Roma Tre' 0055, Department of Economics - University Roma Tre.
- Rafael Repullo, 2002.
"Capital requirements, market power, and risk-taking in banking,"
809, Federal Reserve Bank of Chicago.
- Repullo, Rafael, 2004. "Capital requirements, market power, and risk-taking in banking," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 156-182, April.
- Repullo, Rafael, 2003. "Capital Requirements, Market Power and Risk-Taking in Banking," CEPR Discussion Papers 3721, C.E.P.R. Discussion Papers.
- Rochet, Jean-Charles, 1992. "Capital requirements and the behaviour of commercial banks," European Economic Review, Elsevier, vol. 36(5), pages 1137-1170, June.
- Luis M. Granero & Juan Carlos Reboredo, 2005. "Competition, risk taking, and governance structures in retail banking," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(1), pages 37-40, January.
When requesting a correction, please mention this item's handle: RePEc:taf:apfelt:v:4:y:2008:i:3:p:157-161. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.