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Discussion Paper
Testing for transient bubbles in stock prices
Discussion Paper
Are there speculative bubbles in stock prices?
Working Paper
Equity underwriting risk
Working Paper
Deposit insurance, bank incentives, and the design of regulatory policy
This study analyzes alternative bank regulatory polices within a theoretical framework that can encompass many policy design issues. Consequences of generalizing banks' investment and financing opportunities for results in the existing literature are examined. Under costless equity issuance, a narrow banking requirement costlessly resolves moral hazard and insurance pricing problems addressed in the literature. With costly equity, minimum capital requirements can be effective but optimal policy design is complicated by its dependence on equity issuance costs, heterogeneous bank investment ...
Working Paper
Market-based deposit insurance premiums: an evaluation
Working Paper
How accurate are Value-at-Risk models at commercial banks?
In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. We provide descriptive statistics on the trading revenues from such activities and on the associated Value-at-Risk forecasts internally estimated by banks. For a sample of large bank holding companies, we evaluate the performance of banks' trading risk models by examining the statistical accuracy of the VaR forecasts. Although a substantial literature has examined the statistical and economic meaning of Value-at-Risk models, this article is the first to ...