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The tremendous growth of markets for credit derivatives since the mid 1990's has raised questions regarding the role of these instruments in the banking in- dustry which is heavily exposed to credit risk. However, while recent literature mainly focused on pricing and optimal decisions regarding...
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Bank capital requirements are based on a mix of market values and book values. We investigate the effects of a policy … banking organizations. Our analysis is based on security-level data on individual bank portfolios matched to bond …
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