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DEMATERIALISING CAPITAL IN FINANCIAL FIRMS: AN OPTION BASED APPROACH

Salvatore, Ciccarelli - EconWPA - 2004

Risk management is at present essential to the banking business mainly as a discipline geared to the protection of depositors with a strong capital support. But risk management yields other benefits, offering a well-grounded procedure to allocate capital and to price banking products. Value at...

Persistent link: https://www.econbiz.de/10005134794

The impact of the 1988 Basel Accord on banks' capital ratios and credit risk-taking: an international study

Roy, Patrick Van - EconWPA - 2005

The purpose of this paper is to see whether and how G-10 banks have complied with the 1988 Basel Accord. The interest of this study lies in the fact that the standardized approach to credit risk in the New Basel Accord is conceptually similar to the 1988 agreement. However, very little is known...

Persistent link: https://www.econbiz.de/10005134754

Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6)

Jamshidian, Farshid - EconWPA - 2004

Part I proposes a numeraire-invariant option pricing framework. It defines an option, its price process, and such … notions as option indistinguishability and equivalence, domination, payoff process, trigger option, and semipositive option … established in general. The american option is then defined, and its pricing formula (for all times) is presented. Applying a …

Persistent link: https://www.econbiz.de/10005134894

Parameter risk in the Black and Scholes model

Marc, Henrard - EconWPA - 2003

We study parameter or estimation risk in the hedging of options. We suppose that the world is such that the price of an … hedging activity when the volatility of the underlying is misestimated. A financial interpretation of the results is provided …

Persistent link: https://www.econbiz.de/10005412561

Changing boundaries and structure of a technological system: lessons from UK retail banking

Consoli, Davide - EconWPA - 2005

This article investigates the factors that have induced and shaped the process of industry evolution of banking in the United Kingdom and, in particular, the reorganization of the retail payments system. It will look at how the effects of technical progress within a changing regulatory framework...

Persistent link: https://www.econbiz.de/10005076877

Plastic Clashes: Competition among Closed and Open Systems in the Credit Card Industry.

Manenti, Fabio M.; Somma, Ernesto - EconWPA - 2002

This paper analyses market competition between two different types of credit card platforms: not-for-profit associations and proprietary systems. The main focus is on the role of the interchange fee set by not-for-profit platforms. We show that when the interchange fee is set so as to maximise...

Persistent link: https://www.econbiz.de/10005076892

Capital Regulation and Credit Risk Taking : Empirical Evidence from Banks in Emerging Market Economies

Godlewski, Christophe - EconWPA - 2004

The primary purpose of this article is to investigate the relationship between bank capital and credit risk taking in emerging market economies. We also investigate the influence of several regulatory, institutional and legal features on the relationship between risk and capital. We apply a...

Persistent link: https://www.econbiz.de/10005076943

Boom In, Bust Out: Young Households and the Housing Price Cycle

Ortalo-Magne, Francois; Rady, Sven - EconWPA - 1998

The UK experienced a major residential real estate boom-bust cycle from the mid-Eighties to the mid-Nineties, accompanied by unprecedented shifts in the owner occupancy rate of young households. Previous empirical analyses have pointed toward income changes and financial deregulation as the...

Persistent link: https://www.econbiz.de/10005076946

Evolution and Present Status of Bulgarian Card Market

Bojinov, Bojidar - EconWPA - 2003

Bulgaria is a small South-eastern European country with a population of 8 million inhabitants in economic transition. During the bank crisis (1996-97) about 1/3 of all banks went bankrupt. On 5 July 1997, the Bulgarian government, jointly with IMF, introduced the Currency Board Arrangement,...

Persistent link: https://www.econbiz.de/10005076949

Fairly Priced Deposit Insurance and Bank Charter Policy

Craine, Roger - EconWPA - 1996

The thrust of current deposit insurance reform--risk-based insurance premiums and capital requirements--is an effort to price deposit insurance more fairly. Fairly pricing deposit insurance eliminates inequitable wealth transfers, but it does not lead to an efficient equilibrium. This paper...

Persistent link: https://www.econbiz.de/10005076957

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