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Citations for "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory"

by Merton, Robert C.

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  1. Calomiris, Charles W. & Carlson, Mark A., 2014. "Corporate Governance and Risk Management at Unprotected Banks: National Banks in the 1890s," Finance and Economics Discussion Series 2014-8, Board of Governors of the Federal Reserve System (U.S.).
  2. Agnès Bénassy-Quéré & Guillaume Roussellet, 2012. "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries," Documents de travail du Centre d'Economie de la Sorbonne 12077, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  3. Konishi, Masaru & Yasuda, Yukihiro, 2004. "Factors affecting bank risk taking: Evidence from Japan," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 215-232, January.
  4. repec:fda:fdaeee:59 is not listed on IDEAS
  5. Luís Brandão Marques & Ricardo Correa & Horacio Sapriza, 2013. "International Evidence on Government Support and Risk Taking in the Banking Sector," IMF Working Papers 13/94, International Monetary Fund.
  6. Enrique Benito, 2008. "Size, growth and bank dynamics," Banco de Espa�a Working Papers 0801, Banco de Espa�a.
  7. John H. Boyd & Stanley L. Graham, 1986. "Risk, regulation, and bank holding company expansion into nonbanking," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr, pages 2-17.
  8. Athanasoglou, Panayiotis, 2011. "Bank capital and risk in the South Eastern European region," MPRA Paper 32002, University Library of Munich, Germany.
  9. repec:hal:wpaper:hal-00962455 is not listed on IDEAS
  10. Fernández, Ana I. & González, Francisco & Suárez, Nuria, 2010. "How institutions and regulation shape the influence of bank concentration on economic growth: International evidence," International Review of Law and Economics, Elsevier, vol. 30(1), pages 28-36, March.
  11. Fischer, Klaus P. & Fournier, Eric M., 2002. "Does Corporate Governance Matter in Deposit Insurance? DI and Moral Hazard in Joint Stock and Mutual Financial Intermediaries," Cahiers de recherche 0206, CIRPEE.
  12. Guillermo Alger & Ingela Alger, 1999. "Liquid Assets in Banks: Theory and Practice," Boston College Working Papers in Economics 446, Boston College Department of Economics.
  13. Keppo, Jussi & Kofman, Leonard & Meng, Xu, 2010. "Unintended consequences of the market risk requirement in banking regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2192-2214, October.
  14. William P. Osterberg & James B. Thomson, 1992. "Forbearance, subordinated debt, and the cost of capital for insured depository institutions," Economic Review, Federal Reserve Bank of Cleveland, issue Q III, pages 16-26.
  15. Koziol, Christian & Lawrenz, Jochen, 2012. "Contingent convertibles. Solving or seeding the next banking crisis?," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 90-104.
  16. Elijah Brewer III & Thomas H. Mondschean & Philip Strahan, 1996. "The Role of Monitoring in Reducing the Moral Hazard Problem Associated with Government Guarantees: Evidence from the Life Insurance Industry," Center for Financial Institutions Working Papers 96-15, Wharton School Center for Financial Institutions, University of Pennsylvania.
  17. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 1999. "Hedging and Financial Fragility in Fixed Exchange Rate Regimes," NBER Working Papers 7143, National Bureau of Economic Research, Inc.
  18. Manish K. Singh & S. Ramann, 2014. "User right as a mezzanine capital investment: Innovations in infrastructure debt financing," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-027, Indira Gandhi Institute of Development Research, Mumbai, India.
  19. Repullo, Rafael & Suarez, Javier, 2004. "Loan pricing under Basel capital requirements," Journal of Financial Intermediation, Elsevier, vol. 13(4), pages 496-521, October.
  20. repec:hal:wpaper:hal-00916674 is not listed on IDEAS
  21. Slastnikov, A., 2014. "Investing a Risky Projects under the Government Guarantees on Loans," Journal of the New Economic Association, New Economic Association, vol. 24(4), pages 12-37.
  22. Buchmüller, Patrik, 2001. "Die Berücksichtigung des operationellen Risikos in der Neuen Basler Eigenkapitalvereinbarung," Tübinger Diskussionsbeiträge 227, University of Tübingen, School of Business and Economics.
  23. Lóránth, Gyöngyi & Morrison, Alan, 2003. "Multinational Bank Regulation with Deposit Insurance and Diversification Effects," CEPR Discussion Papers 4148, C.E.P.R. Discussion Papers.
  24. Diwan, Ishac & Spiegel, Mark M., 1991. "Are buybacks back? Menu-driven debt-reduction schemes with heterogenous creditors," Policy Research Working Paper Series 675, The World Bank.
  25. Xiaozhong Liang, 2005. "The Behavior of Banks under the Deposit Insurance and Capital Requirements," Computing in Economics and Finance 2005 407, Society for Computational Economics.
  26. Yu, W. T. & Pang, W. K. & Li, L. K., 2004. "Borrowing cost reduction by interest rate swaps--an option pricing analysis," European Journal of Operational Research, Elsevier, vol. 154(3), pages 764-778, May.
  27. Baranoff, Etti G. & Sager, Thomas W., 2002. "The relations among asset risk, product risk, and capital in the life insurance industry," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1181-1197, June.
  28. James G. Bohn & Brian J. Hall, 1997. "The Moral Hazard of Insuring the Insurers," NBER Working Papers 5911, National Bureau of Economic Research, Inc.
  29. Episcopos, Athanasios, 2008. "Bank capital regulation in a barrier option framework," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1677-1686, August.
  30. Kraeussl, Roman, 2003. "A Critique on the Proposed Use of External Sovereign Credit Ratings in Basel II," CFS Working Paper Series 2003/23, Center for Financial Studies (CFS).
  31. Masami Imai, 2006. "Market Discipline and Deposit Insurance Reform in Japan," Wesleyan Economics Working Papers 2006-007, Wesleyan University, Department of Economics.
  32. Weiß, Gregor N.F. & Bostandzic, Denefa & Neumann, Sascha, 2014. "What factors drive systemic risk during international financial crises?," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 78-96.
  33. Kariastanto, Bayu, 2011. "Blanket guarantee, deposit insurance, and risk-shifting incentive: evidence from Indonesia," MPRA Paper 35557, University Library of Munich, Germany.
  34. Hentschel, Ludger & Smith, Clifford Jr., 1997. "Derivatives regulation: Implications for central banks," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 305-346, October.
  35. Jones, Kenneth D. & Oshinsky, Robert C., 2009. "The effect of industry consolidation and deposit insurance reform on the resiliency of the U.S. bank insurance fund," Journal of Financial Stability, Elsevier, vol. 5(1), pages 57-88, January.
  36. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
  37. Emmanuel Farhi & Mikhail Golosov & Aleh Tsyvinski, 2006. "A Theory of Liquidity and Regulation of Financial Intermediation," Levine's Bibliography 321307000000000326, UCLA Department of Economics.
  38. Beltratti, Andrea & Stulz, Rene M., 2010. "The Credit Crisis around the Globe: Why Did Some Banks Perform Better?," Working Paper Series 2010-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  39. Bouvatier, Vincent & Lepetit, Laetitia & Strobel, Frank, 2014. "Bank income smoothing, ownership concentration and the regulatory environment," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 253-270.
  40. Stefan Arping, 2014. "Does Competition make Banks more Risk-seeking?," Tinbergen Institute Discussion Papers 14-059/IV, Tinbergen Institute.
  41. Anisa Caja & Frédéric Planchet, 2014. "Modeling Cycle Dependence in Credit Insurance," Risks, MDPI, Open Access Journal, vol. 2(1), pages 74-88, March.
  42. Bo Becker & Jens Josephson, 2013. "Insolvency Resolution and the Missing High Yield Bond Markets," NBER Working Papers 19415, National Bureau of Economic Research, Inc.
  43. Gary Gorton & Andrew Winton, 2002. "Financial Intermediation," Center for Financial Institutions Working Papers 02-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
  44. Lucas, Deborah & McDonald, Robert L., 1987. "Bank portfolio choice with private information about loan quality : Theory and implications for regulation," Journal of Banking & Finance, Elsevier, vol. 11(3), pages 473-497, September.
  45. Gendreau, Brian C., 1999. "Risk Structure of Postbellum U.S. Deposit Rates," Explorations in Economic History, Elsevier, vol. 36(4), pages 409-427, October.
  46. John R. Walter, 1998. "Can a safety net subsidy be contained?," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 1-20.
  47. John S. Jordan, 1998. "Resolving a banking crisis: what worked in New England," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 49-62.
  48. Whidbee, David A. & Wohar, Mark, 1999. "Derivative activities and managerial incentives in the banking industry," Journal of Corporate Finance, Elsevier, vol. 5(3), pages 251-276, September.
  49. Eccher, Elizabeth A. & Ramesh, K. & Thiagarajan, S. Ramu, 1996. "Fair value disclosures by bank holding companies," Journal of Accounting and Economics, Elsevier, vol. 22(1-3), pages 79-117, October.
  50. Laeven, L., 2011. "Bank governance and regulation," Other publications TiSEM d5f6383c-1e7c-48c7-b705-c, Tilburg University, School of Economics and Management.
  51. Duran, Miguel A. & Lozano-Vivas, Ana, 2014. "Risk shifting in the US banking system: An empirical analysis," Journal of Financial Stability, Elsevier, vol. 13(C), pages 64-74.
  52. Thorsten Beck & Asli Demirguc-Kunt & Ross Levine, 2003. "Bank Concentration and Crises," NBER Working Papers 9921, National Bureau of Economic Research, Inc.
  53. John Krainer, 2000. "The separation of banking and commerce," Economic Review, Federal Reserve Bank of San Francisco, pages 15-24.
  54. Srivastav, Abhishek & Armitage, Seth & Hagendorff, Jens, 2014. "CEO inside debt holdings and risk-shifting: Evidence from bank payout policies," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 41-53.
  55. Thakor, Anjan V., 1996. "Financial conglomeration: Issues and questions," The North American Journal of Economics and Finance, Elsevier, vol. 7(2), pages 135-145.
  56. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
  57. Carmine DiNoia, 1994. "Structuring Deposit Insurance in Europe: Some Considerations and a Regulatory Game," Center for Financial Institutions Working Papers 94-31, Wharton School Center for Financial Institutions, University of Pennsylvania.
  58. Akhigbe, Aigbe & Madura, Jeff & Marciniak, Marek, 2012. "Bank capital and exposure to the financial crisis," Journal of Economics and Business, Elsevier, vol. 64(5), pages 377-392.
  59. Xavier Freixas, 2009. "Monetary policy in a systemic crisis," Oxford Review of Economic Policy, Oxford University Press, vol. 25(4), pages 630-653, Winter.
  60. Christophe Godlewski, 2004. "Modélisation de la Prévision de Défaillance Bancaire et Facteurs Réglementaires Une Application aux Banques des Pays Emergents," Finance 0409027, EconWPA.
  61. John H. Boyd & Chun Chang & Bruce D. Smith, 1998. "Moral hazard under commercial and universal banking," Working Papers 585, Federal Reserve Bank of Minneapolis.
  62. John S. Jordan, 1997. "Manager's opportunistic trading of their firms' shares: a case study of executives in the banking industry," Working Papers 97-4, Federal Reserve Bank of Boston.
  63. Kogler, Michael, 2015. "Rewarding Prudence: Risk Taking, Pecuniary Externalities and Optimal Bank Regulation," Economics Working Paper Series 1512, University of St. Gallen, School of Economics and Political Science.
  64. Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," Harvard Business School Working Papers 10-023, Harvard Business School, revised Jul 2010.
  65. Diamond, Douglas W & Dybvig, Philip H, 1983. "Bank Runs, Deposit Insurance, and Liquidity," Journal of Political Economy, University of Chicago Press, vol. 91(3), pages 401-19, June.
  66. Mierzejewski, Fernando, 2008. "The optimal liquidity principle with restricted borrowing," MPRA Paper 12549, University Library of Munich, Germany.
  67. Richard D. Phillips & J. David Cummins & Franklin Allen, 1996. "Financial Pricing of Insurance in the Multiple Line Insurance Company," Center for Financial Institutions Working Papers 96-09, Wharton School Center for Financial Institutions, University of Pennsylvania.
  68. J. Huston McCulloch, 1978. "Interest Rate Risk and Capital Adequacy For Traditional Banks and Financial Intermediaries," NBER Working Papers 0237, National Bureau of Economic Research, Inc.
  69. Gropp, Reint & Gruendl, Christian & Guettler, Andre, 2013. "Hidden gems and borrowers with dirty little secrets: Investment in soft information, borrower self-selection and competition," SAFE Working Paper Series 19, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  70. Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2577-2603, October.
  71. Linda M. Hooks & Kenneth J. Robinson, 1996. "Moral hazard and Texas banking in the 1920s," Financial Industry Studies Working Paper 96-1, Federal Reserve Bank of Dallas.
  72. Pablo Druck, 1999. "Banking Crises, Implicit Government Guarantees, and Optional Insurance," CEMA Working Papers: Serie Documentos de Trabajo. 159, Universidad del CEMA.
  73. Viral V. Acharya & Hamid Mehran & Anjan Thakor, 2010. "Caught between Scylla and Charybdis? Regulating bank leverage when there is rent seeking and risk shifting," Staff Reports 469, Federal Reserve Bank of New York.
  74. Malherbe, Frédéric, 2015. "Optimal capital requirements over the business and financial cycles," CEPR Discussion Papers 10387, C.E.P.R. Discussion Papers.
  75. 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.
  76. George Pennacchi, 1999. "The Effects of Setting Deposit Insurance Premiums to Target Insurance Fund Reserves," Journal of Financial Services Research, Springer, vol. 16(2), pages 153-180, December.
  77. Rebecca S. Demsetz & Marc R. Saidenberg & Philip E. Strahan, 1997. "Agency problems and risk taking at banks," Staff Reports 29, Federal Reserve Bank of New York.
  78. Loretta J. Mester & Leonard I. Nakamura & Micheline Renault, 2004. "Transactions accounts and loan monitoring," Working Papers 04-20, Federal Reserve Bank of Philadelphia.
  79. Simon H. Kwan & Robert A. Eisenbeis, 1995. "An analysis of inefficiencies in banking: a stochastic cost frontier approach," Working Papers in Applied Economic Theory 95-12, Federal Reserve Bank of San Francisco.
  80. Marco A Espinosa-Vega & Rafael Matta & Charles M. Kahn & Juan Sole, 2011. "Systemic Risk and Optimal Regulatory Architecture," IMF Working Papers 11/193, International Monetary Fund.
  81. Thorsten Beck, 2007. "Bank Concentration and Fragility. Impact and Mechanics," NBER Chapters, in: The Risks of Financial Institutions, pages 193-234 National Bureau of Economic Research, Inc.
  82. John S. Jordan, 1998. "Problem loans at New England banks, 1989 to 1992: evidence of aggressive loan policies," New England Economic Review, Federal Reserve Bank of Boston, issue Jan, pages 23-38.
  83. Ahmet F. Aysan & Mustafa Disli & Huseyin Ozturk & Ibrahim M. Turhan, 2015. "Are Islamic Banks Subject To Depositor Discipline?," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 60(01), pages 1550007-1-1.
  84. Xavier Freixas & Bruno Maria Parigi, 2008. "Lender of Last Resort and Bank Closure Policy," CESifo Working Paper Series 2286, CESifo Group Munich.
  85. Tianxi Wang, 2009. "Risk, Leverage, and Regulation of Financial Intermediaries," Economics Discussion Papers 678, University of Essex, Department of Economics.
  86. Mohamed Belhaj & Nataliya Klimenko, 2012. "Optimal Preventive Bank Supervision: Combining Random Audits and Continuous Intervention," Working Papers halshs-00790464, HAL.
  87. Alistair Milne & A Elizabeth Whalley, 1999. "Bank capital and risk taking," Bank of England working papers 90, Bank of England.
  88. Daher, Hassan & Masih, Mansur & Ibrahim, Mansor, 2015. "The unique risk exposures of Islamic banks’ capital buffers: A dynamic panel data analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 36-52.
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  91. 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.
  92. 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.
  93. Elijah Brewer, III & William Curt Hunter & William E. Jackson, III, 2004. "Investment opportunity set, product mix, and the relationship between bank CEO compensation and risk-taking," Working Paper 2004-36, Federal Reserve Bank of Atlanta.
  94. Steven R. Grenadier & Brian J. Hall, 1995. "Risk-Based Capital Standards and the Riskiness of Bank Portfolios: Credit and Factor Risks," NBER Working Papers 5178, National Bureau of Economic Research, Inc.
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  96. Arthur Petit-Romec, 2011. "L'intérêt d'un renforcement des fonds propres bancaires (et de mesures complémentaires) pour concilier stabilité financière, performance et bon fonctionnement des banques," Post-Print dumas-00643745, HAL.
  97. Christophe Godlewski, 2004. "Modélisation de la Prévision de Défaillance Bancaire Une Application aux Banques des Pays Emergents," Finance 0409026, EconWPA.
  98. Schlütter, Sebastian, 2011. "Capital requirements or pricing constraints? An economic analysis of measures for insurance regulation," ICIR Working Paper Series 03/11, International Center for Insurance Regulation (ICIR), Goethe University Frankfurt.
  99. Berger, Allen N. & Bouwman, Christa H.S., 2013. "How does capital affect bank performance during financial crises?," Journal of Financial Economics, Elsevier, vol. 109(1), pages 146-176.
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