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Variance and Volatility Swaps : Bubbles and Fundamental Prices

Jarrow, Robert A. - 2010

's price bubble. We show that the existence of variance swap market prices implies that there are no swap price bubbles …. Furthermore, we also show that under some mild additional assumptions the discretely sampled variance swap's market price can be …

Persistent link: https://www.econbiz.de/10013141918

A leverage ratio rule for capital adequacy

Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976

Persistent link: https://www.econbiz.de/10009708725

Financial constraints of private firms and bank lending behavior

Behr, Patrick; Norden, Lars; Noth, Felix - In: Journal of banking & finance 37 (2013) 9, pp. 3472-3485

Persistent link: https://www.econbiz.de/10010126386

The effect of information sharing between lenders on access to credit, cost of credit and loan performance : evidence from a credit registry introduction

Behr, Patrick; Sonnekalb, Simon - In: Journal of banking & finance 36 (2012) 11, pp. 3017-3032

Persistent link: https://www.econbiz.de/10009672994

Pricing derivatives on financial securities subject to credit risk

Jarrow, Robert A.; Turnbull, Stuart M. - In: Credit risk models and management, (pp. 333-374). 2004

Persistent link: https://www.econbiz.de/10002432611

Practical usage of credit risk models in loan portfolio and counterparty exposure management: an update

Jarrow, Robert A.; Deventer, Donald R. van - In: Credit risk models and management, (pp. 573-597). 2004

Persistent link: https://www.econbiz.de/10002433486

The intersection of market and credit risk

Jarrow, Robert A.; Turnbull, Stuart M. - In: Journal of banking & finance 24 (2000) 1/2, pp. 271-299

Persistent link: https://www.econbiz.de/10001432993

Did government regulations lead to inflated credit ratings?

Behr, Patrick; Kisgen, Darren J.; Taillard, Jérôme P. - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 1034-1054

Persistent link: https://www.econbiz.de/10011847126

The (un)intended effects of government bailouts : the impact of TARP on the interbank market and bank risk-taking

Behr, Patrick; Wang, Weichao - In: Journal of banking & finance 116 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012489214