Some searches may not work properly. We apologize for the inconvenience.
My bibliography Save this paperA Contingent Claim Analysis of Risk-based Capital Standards for Banks
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Keeley, Michael C. & Furlong, Frederick T., 1990. "A reexamination of mean-variance analysis of bank capital regulation," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 69-84, March.
- Gennotte, Gerard & Pyle, David, 1991. "Capital controls and bank risk," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 805-824, September.
- 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.
- 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.
- Avery, Robert B. & Berger, Allen N., 1991.
"Risk-based capital and deposit insurance reform,"
Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 847-874, September.
- Robert B. Avery & Allen N. Berger, 1990. "Risk-based capital and deposit insurance reform," Working Papers (Old Series) 9101, Federal Reserve Bank of Cleveland.
- Frederick T. Furlong & Michael C. Keeley, 1991. "Capital regulation and bank risk-taking: a note (reprinted from Journal of Banking and Finance)," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 34-39.
- W. F. Sharpe, 1981.
"Bank Capital Adequacy, Deposit Insurance, and Security Values,"
NBER Chapters, in: Risk and Capital Adequacy in Commercial Banks, pages 187-202,
National Bureau of Economic Research, Inc.
- Sharpe, William F., 1978. "Bank Capital Adequacy, Deposit Insurance and Security Values," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(4), pages 701-718, November.
- Ronn, Ehud I. & Verma, Avinash K., 1989. "Risk-based capital adequacy standards for a sample of 43 major banks," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 21-29, March.
- repec:bla:jfinan:v:43:y:1988:i:5:p:1219-33 is not listed on IDEAS
- Furlong, Frederick T. & Keeley, Michael C., 1989. "Capital regulation and bank risk-taking: A note," Journal of Banking & Finance, Elsevier, vol. 13(6), pages 883-891, December.
- Smith, Clifford Jr., 1976. "Option pricing : A review," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 3-51.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Paolo Fegatelli, 2010. "The misconception of the option value of deposit insurance and the efficacy of non-risk-based capital requirements in the literature on bank capital regulation," BCL working papers 46, Central Bank of Luxembourg.
- Stolz, Stéphanie, 2002. "The Relationship between Bank Capital, Risk-Taking, and Capital Regulation: A Review of the Literature," Kiel Working Papers 1105, Kiel Institute for the World Economy (IfW Kiel).
- 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.
- Abou-El-Sood, Heba, 2016. "Are regulatory capital adequacy ratios good indicators of bank failure? Evidence from US banks," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 292-302.
- Paul S. Calem & Rafael Rob, "undated".
"The Impact of Capital-Based Regulation on Bank Risk-Taking: A Dynamic Model,"
Finance and Economics Discussion Series
1996-12, Board of Governors of the Federal Reserve System (U.S.), revised 04 Dec 2019.
- Paul S. Calem & Rafael Rob, 1996. "The impact of capital-based regulation on bank risk-taking: a dynamic model," Finance and Economics Discussion Series 96-12, Board of Governors of the Federal Reserve System (U.S.).
- Paul Calem & Rafael Rob, "undated". ""The Impact of Capital-Based Regulation on Bank Risk-Taking: A Dynamic Model''," CARESS Working Papres 97-16, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
- David Cummins, J. & Sommer, David W., 1996. "Capital and risk in property-liability insurance markets," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 1069-1092, July.
- Lara Cathcart & Lina El-Jahel & Ravel Jabbour, 2017. "Basel II: an engine without brakes," Journal of Banking Regulation, Palgrave Macmillan, vol. 18(4), pages 359-374, November.
- Patrick Van Roy, 2005. "The impact of the 1988 Basel Accord on banks' capital ratios and credit risk-taking: an international study," Finance 0509013, University Library of Munich, Germany.
- Lin, Shu Ling & Penm, Jack H.W. & Gong, Shang-Chi & Chang, Ching-Shan, 2005. "Risk-based capital adequacy in assessing on insolvency-risk and financial performances in Taiwan's banking industry," Research in International Business and Finance, Elsevier, vol. 19(1), pages 111-153, March.
- Javier Suárez, 1998. "Risk-taking and the prudential regulation of banks," Investigaciones Economicas, Fundación SEPI, vol. 22(3), pages 307-336, September.
- Fegatelli, Paolo, 2010. "The misconception of the option value of deposit insurance and the efficacy of non-risk-based capital requirements in the literature on bank capital regulation," Journal of Financial Stability, Elsevier, vol. 6(2), pages 79-84, June.
- Georges Dionne, 2003.
"The Foundationsof Banks' Risk Regulation: A Review of Literature,"
THEMA Working Papers
2003-46, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Georges Dionne, 2003. "The Foundations of Banks' Risk Regulation: a Review of the Literature," Cahiers de recherche 0346, CIRPEE.
- Dionne, Georges, 2004. "The foundations of banks’ risk regulation: A review of the literature," Working Papers 03-8, HEC Montreal, Canada Research Chair in Risk Management.
- Gary Gorton & Andrew Winton, "undated".
"Bank Capital Regulation in General Equilibrium,"
Rodney L. White Center for Financial Research Working Papers
17-95, Wharton School Rodney L. White Center for Financial Research.
- Gary Gorton & Andrew Winton, 1995. "Bank Capital Regulation in General Equilibrium," NBER Working Papers 5244, National Bureau of Economic Research, Inc.
- Das, Abhiman & Ghosh, Saibal, 2004. "Risk, capital and operating efficiency: Evidence from Indian public sector banks," MPRA Paper 17399, University Library of Munich, Germany.
- Marianne Gizycki & Brenton Goldsworthy, 1999. "Australian Banking Risk: The Stock Market’s Assessment and the Relationship Between Capital and Asset Volatility," RBA Research Discussion Papers rdp1999-09, Reserve Bank of Australia.
- Heid, Frank & Porath, Daniel & Stolz, Stéphanie, 2003.
"Does capital regulation matter for bank behavior? Evidence for German savings banks,"
Kiel Working Papers
1192, Kiel Institute for the World Economy (IfW Kiel).
- Heid, Frank & Porath, Daniel & Stolz, Stéphanie, 2004. "Does capital regulation matter for bank behaviour? Evidence for German savings banks," Discussion Paper Series 2: Banking and Financial Studies 2004,03, Deutsche Bundesbank.
- Avery, Robert B. & Berger, Allen N., 1991.
"Risk-based capital and deposit insurance reform,"
Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 847-874, September.
- Robert B. Avery & Allen N. Berger, 1990. "Risk-based capital and deposit insurance reform," Working Papers (Old Series) 9101, Federal Reserve Bank of Cleveland.
- Phong T. H. Ngo, 2006. "International Prudential Regulation, Regulatory Risk and the Cost of Bank Capital," ANU Working Papers in Economics and Econometrics 2006-463, Australian National University, College of Business and Economics, School of Economics.
- Delis, Manthos D. & Tran, Kien C. & Tsionas, Efthymios G., 2012.
"Quantifying and explaining parameter heterogeneity in the capital regulation-bank risk nexus,"
Journal of Financial Stability, Elsevier, vol. 8(2), pages 57-68.
- Delis, Manthos D & Tran, Kien & Tsionas, Efthymios, 2009. "Quantifying and explaining parameter heterogeneity in the capital regulation-bank risk nexus," MPRA Paper 18526, University Library of Munich, Germany.
- Berger, Allen N. & Herring, Richard J. & Szego, Giorgio P., 1995.
"The role of capital in financial institutions,"
Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 393-430, June.
- Allen N. Berger & Richard J. Herring & Giorgio P. Szego, 1995. "The role of capital in financial institutions," Finance and Economics Discussion Series 95-23, Board of Governors of the Federal Reserve System (U.S.).
- Allen N. Berger & Richard J. Herring & Giorgio P. Szegö, 1995. "The Role of Capital in Financial Institutions," Center for Financial Institutions Working Papers 95-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rba:rbardp:rdp9210. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Paula Drew (email available below). General contact details of provider: https://edirc.repec.org/data/rbagvau.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.