Search Results
Conference Paper
A simple approach to better deposit insurance pricing
Working Paper
Australian banking risk: evidence from share prices
We use share price data to calculate bank asset volatilities, market capital-asset ratios, and the public-sector depositor protection liability for Australia. The results show that the average capital ratio for the Australian banking sector has risen over the past decade, while the riskiness of bank assets has increased slightly. An examination of the relationship between asset volatility and bank capital implies that riskier banks have tended to maintain higher capital ratios, with a similar positive relationship between the two variables over time at individual banks. We find that the ...
Journal Article
Competitive forces and profit persistence in banking
Journal Article
Changing the $100,000 deposit insurance limit
Working Paper
A simple approach to better deposit insurance pricing
Journal Article
Market risk and bank capital: part 2
Journal Article
Bank capital standards for foreign exchange and other market risks
The Basle Committee on Banking Supervision has proposed methods for incorporating consideration of market risks--exchange rate, interest rate, and equity price risks--into risk-based capital standards for banks. This paper shows that the separate and seemingly different proposed approaches to the three sources of risk are consistent with one another, reflecting a single unifying theme. That theme is the measurement of risk through a weighting of two different measures of portfolio size, the gross position and the net position. A simple theoretical model demonstrates that such an approach ...
Journal Article
Market risk and bank capital: part 1
Journal Article
Explaining differences in farm lending among banks
Do small, rural banks lend to farmers because they are small, or because they are rural? This paper combines a new measure of the extent of agricultural activity in banking markets with an appropriate statistical framework to examine causes of interbank variation in agricultural production loans. The results show that a bank's size and head office location both matter to some extent, but that the size of a bank's branches in agricultural areas is the single most important factor determining agricultural loan levels. Other variables, such as ownership structure and charter type, have no ...