In the last two decades U.S. banks have become systematically less profitable and riskier as nonbank competition has eroded the profitability of banks’ traditional activities. Bank failures, insignificant from 1934, the date the Glass-Steagall Act was passed, until 1980, rose exponentially in...

We develop contingent claims valuation models for corporate bonds that are capable of generating yield spreads consistent with the levels observed in practice. We incorporate important features in the valuation related to the occurrence of and payoff upon bankruptcy and focus on the default risk...

No economic event on or about October 19, 1987 can explain the record collapse of equity prices that occurred on that day. In the summer of 1987 equity valuations were at a historically high levels based on current and projected earnings and the real interest rates available in the bond market.<p>...</p>

This paper examines the within day pattern of common stock returns surrounding announcements of new issues of equity and debt by industrial firms. During the first fifteen minutes following new equity issue announcements, there is an abnormally large number of transactions, high volume, and a...

This paper proposes a new solution concept to three-player coalitional bargaining problems where the underlying economic opportunities are described by a partition function. This classic bargaining problem is modeled as a dynamic non-cooperative game in which players make conditional or...

A community disaster model has been developed at the University of Pennsylvania as part of an NSF-RANN grant ENV-12370, "Mitigation and Recovery Policies for Natural Hazards." The objective of the project is to describe the impact of a natural disaster on a community so as to provide guidance to...