This paper analyzes performance and portfolio choice of banks' investments across business units using methodologies developed mainly for equity investments. The backgrounds to the paper are major recent developments in the financial services industry, mainly consolidation in the banking...

Although many credit risk models exist in the academic literature, little attention has been paid to the measurement of credit spread, which is an important input in most of those models.When a reference entity has not issued any straight bond it becomes impossible to calculate credit spread and...

Issuing convertible bonds has become a popular way of raising capital by corporations in the last few years. An important subgroup is convertibles linked to a price index or exchange rate. In this paper we extend the convertible pricing models of Tsiveriotis and Fernandes (1998) and McConnell...

In Issuing convertible bonds has become a popular way of raising capital by corporations in the last few years. An important subgroup is convertibles linked to a price index or exchange rate.The valuation model of inflation-indexed (or equivalently foreign-currency) convertible bonds derived in...

In Issuing convertible bonds has become a popular way of raising capital by corporations in the last few years. An important subgroup is convertibles linked to a price index or exchange rate. The valuation model of inflation-indexed (or equivalently foreign-currency) convertible bonds derived in...

Issuing convertible bonds has become a popular way of raising capital by corporations in the last few years. An important subgroup is convertibles linked to a price index or exchange rate. The valuation model of inflation-indexed (or equivalently foreign-currency) convertible bonds derived in...

Liquidity risk is one of the major risks faced by banks in addition to credit risk, market risk and operating risk. In this paper we construct a stylized model of bank management where the asset and liabilities liquidity structure are a key element in determining the bank's exposure to liquidity...

The new Basel Capital Accord (Basel II), published in its final form in June 2006,established new and revised capital requirements for banks. In this paper we analyze and estimate the possible effects of the new rules on the pricing of bank loans. We do that for the two approaches for capital...

Inflation expectations are a key economic variable for investors in capital markets and for economic policy decision makers. One of the widely used sources for deriving inflation expectations are market prices of bonds. The yield differential between nominal bonds and inflation-indexed (linked)...

We present an equilibrium model of financial institutions to examine the optimal regulation of risk taking. Shareholders set compensation incentivizing management to increase risk to excessive levels. Regulators use caps on asset risk and compensation to achieve the socially optimal risk level....