fixed income unless the value of the bank’s assets falls below a predetermined threshold. In such an event, the debt … obligation is automatically converted to the bank’s common equities. By using a contingent claims valuation approach we present … closed-form solutions for the valuation of liabilities, the cost of deposit insurance and the value of bankruptcy costs of a …

We examine wealth effects, for banks and insurers, of bank rights to sell and underwrite annuities. The stock …-price reactions to four court and regulatory decisions are consistent with expectations of bank gains at insurers' expense. Cross …, riskier bank holding companies with fee- based and consumer business gain most, consistent with the extension of federal …

, since most financial return series show long memory, e.g., the S&P500 Index return series. Illiquid real estate and bank …