Report NEP-BAN-2011-12-13

This is the archive for NEP-BAN, a report on new working papers in the area of Banking. Christian Calmès (Christian Calmes) issued this report. It is usually issued weekly.

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Other reports in NEP-BAN

The following items were announced in this report:

• Benjamin M. Tabak & Dimas M. Fazio & Daniel O. Cajueiro, 2011, "The Relationship Between Banking Market Competition and Risk-taking: Do Size and Capitalization Matter?," Working Papers Series, Central Bank of Brazil, Research Department, number 261, Nov.
• Memmel, Christoph & Schertler, Andrea, 2011, "Banks' management of the net interest margin: Evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2011,13.
• Zagonov, Maxim, 2011, "Securitization and bank intermediation function," MPRA Paper, University Library of Munich, Germany, number 34961, Sep, revised Sep 2011.
• Georg, Co-Pierre, 2011, "The effect of the interbank network structure on contagion and common shocks," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2011,12.
• Liu, Luke, 2011, "Asset price, asset securitization and financial stability," MPRA Paper, University Library of Munich, Germany, number 35000, Jul.
• Acharya, Viral & Schnabl, Philipp & Drechsler, Itamar, 2011, "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8679, Dec.
• Michalis Vafopoulos, 2011, "Looking for grass-root sources of systemic risk: the case of "cheques-as-collateral" network," Papers, arXiv.org, number 1112.1156, Dec.
• Arnildo da Silva Correa & Jaqueline Terra Moura Marins & Myrian Beatriz Eiras das Neves & Antonio Carlos Magalhães da Silva, 2011, "Credit Default and Business Cycles: an empirical investigation of Brazilian retail loans," Working Papers Series, Central Bank of Brazil, Research Department, number 260, Nov.
• Kelly, Robert, 2011, "The Good, The Bad and The Impaired - A Credit Risk Model of the Irish Mortgage Market," Research Technical Papers, Central Bank of Ireland, number 13/RT/11, Nov.
• Joseph J. Hughes & Loretta Mester, 2011, "Who Said Large Banks Don't Experience Scale Economies? Evidence from a Risk-Return-Driven Cost Function," Departmental Working Papers, Rutgers University, Department of Economics, number 201127, Aug.
• Montgomery, Heather & Takahashi, Yuki, 2011, "The Japanese Big Bang: the effects of "free, fair and global"," MPRA Paper, University Library of Munich, Germany, number 35040, Sep.
• Jarko Fidrmuc & Pavel Ciaian & d'Artis Kancs & Jan Pokrivcak, 2011, "Credit Constraints, Heterogeneous Firms and Loan Defaults," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2011_17, Nov.
• Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011, "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2011_21.
• John Geanakoplos & Lasse H. Pedersen, 2011, "Monitoring Leverage," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1838, Dec.
• Liu, Luke, 2011, "Monetary policy, bank size and bank lending: Evidence from Australia," MPRA Paper, University Library of Munich, Germany, number 35033, Jun.
• Kennedy, Gerard & McIndoe Calder, Tara, 2011, "The Irish Mortgage Market: Stylised Facts, Negative Equity and Arrears," Research Technical Papers, Central Bank of Ireland, number 12/RT/11, Nov.
• Beltratti, Andrea & Paladino, Giovanna, 2011, "Is M&A different during a crisis? Evidence from the European banking sector," MPRA Paper, University Library of Munich, Germany, number 35065, Nov.
• Liu, Luke, 2011, "Securitization and moral hazard: Does security price matter?," MPRA Paper, University Library of Munich, Germany, number 35004, May.
• Victor Gorshkov, 2011, "Foreign banks' entry into the Russian market: motivation, entry modes and strategies," KIER Working Papers, Kyoto University, Institute of Economic Research, number 801, Dec.
• Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi, 2011, "Bivariate Semi-Markov Process for Counterparty Credit Risk," Papers, arXiv.org, number 1112.0226, Dec, revised Oct 2012.
• Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2011, "Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation," Papers, arXiv.org, number 1112.1521, Dec, revised Dec 2011.
• Ravallion, Martin, 2011, "Knowledgeable bankers ? the demand for research in World Bank operations," Policy Research Working Paper Series, The World Bank, number 5892, Dec.
• Claudio Albanese & Damiano Brigo & Frank Oertel, 2011, "Restructuring Counterparty Credit Risk," Papers, arXiv.org, number 1112.1607, Dec, revised May 2012.
• Graham Andersen & David Chisholm, 2011, "A Mathematical Method for Deriving the Relative Effect of Serviceability on Default Risk," Papers, arXiv.org, number 1111.5397, Nov.
• Nielsen, Caren Yinxia, 2011, "Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns," Working Papers, Lund University, Department of Economics, number 2011:38, Nov, revised 01 Oct 2016.
• Alain Monfort & Jean-Paul Renne, 2011, "Credit and liquidity risks in euro area sovereign yield curves," Working papers, Banque de France, number 352.
• Emmanuel A. Abbe & Amir E. Khandani & Andrew W. Lo, 2011, "Privacy-Preserving Methods for Sharing Financial Risk Exposures," Papers, arXiv.org, number 1111.5228, Nov, revised Nov 2011.
• Taisuke UCHINO, 2011, "Bank Dependence and Financial Constraints on Investment: Evidence from the corporate bond market paralysis in Japan," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 11073, Nov.
• Puzanova, Natalia, 2011, "A hierarchical Archimedean copula for portfolio credit risk modelling," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2011,14.
• Òscar Jordà & Moritz HP. Schularick & Alan M. Taylor, 2011, "When Credit Bites Back: Leverage, Business Cycles, and Crises," NBER Working Papers, National Bureau of Economic Research, Inc, number 17621, Nov.
• Dong Xiang & Abul Shamsuddin & Andrew C Worthington, 2011, "A comparative technical, cost and profit efficiency analysis of Australian, Canadian and UK banks: Feasible efficiency improvements in the context of controllable and uncontrollable factors," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201119.
• Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011, "The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting," MPRA Paper, University Library of Munich, Germany, number 35252, Oct.

Report NEP-BAN-2011-12-13

This is the archive for NEP-BAN, a report on new working papers in the area of Banking. Christian Calmès (Christian Calmes) issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-BAN

The following items were announced in this report: