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Evaluating interest rate covariance models within a value-at-risk framework

Ferreira, Miguel A. (contributor); … - 2004 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10002049086

Evaluating covariance matrix forecasts in a value-at-risk framework

García López, José A. (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001577834

Term premia and interest rate forecasts in affine models

Duffee, Greg (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001577848

Asymmetric cross-sectional dispersion in stock returns : evidence and implications

Duffee, Greg (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001577854

Conditional risk and return in bank holding company stocks: a factor- GARCH approach

Neuberger, Jonathan A. - Federal Reserve Bank of San Francisco - 1994

Persistent link: https://www.econbiz.de/10005078258

Deposit insurance, risk, and market power in banking

Keeley, Michael C. - Federal Reserve Bank of San Francisco - 1988

A fixed-rate deposit insurance system provides a moral hazard for excessive risk taking and is not viable absent … turn, caused banks to- increase default risk through increases. in asset risk and reductions in capital. This hypothesis is …

Persistent link: https://www.econbiz.de/10005078269

Does capital regulation affect bank risk-taking?

Furlong, Frederick T.; Keeley, Michael C. - Federal Reserve Bank of San Francisco - 1987

Persistent link: https://www.econbiz.de/10005078292

Bank capital regulation: a reconciliation of two viewpoints

Keeley, Michael C.; Furlong, Frederick T. - Federal Reserve Bank of San Francisco - 1987

probability of bank failure and the risk exposure of the deposit insurance fund. On the other hand, the utility … asset risk and can increase the probability of bank failure. ; In this paper, we show that this seeming inconsistency stems …

Persistent link: https://www.econbiz.de/10005078306

Monetary policy and the theory of the risk-averse bank

Stiglitz, Joseph; Greenwald, Bruce - Federal Reserve Bank of San Francisco - 1993

Persistent link: https://www.econbiz.de/10005078332

Australian banking risk: evidence from share prices

Gizycki, Marianne; Levonian, Mark - Federal Reserve Bank of San Francisco - 1994

We use share price data to calculate bank asset volatilities, market capital-asset ratios, and the public-sector depositor protection liability for Australia. The results show that the average capital ratio for the Australian banking sector has risen over the past decade, while the riskiness of...

Persistent link: https://www.econbiz.de/10005078344