Search Results

SORT BY: PREVIOUS / NEXT
Author:Ritchken, Peter H. 

Conference Paper
Getting the most out of mandatory subordinated debt requirement

Proceedings , Paper 848

Conference Paper
Regulatory taxes, investment and financing decisions for insured banks

Proceedings , Paper 477

Conference Paper
The asset flexibility option and the value of deposit insurance

Proceedings , Paper 315

Working Paper
Regulatory taxes, investment, and financing decision for insured banks

An investigation of the effects of interest rate and credit risk on optimal capital structure and investment decisions. The authors show that with no uncertainty in interest rates, capital regulation will reduce the risk of the bank's assets, but that under interest rate uncertainty, the impact of regulation may be detrimental and raise the risk of the deposits as well as government subsidies to the bank's shareholders.
Working Papers (Old Series) , Paper 9303

Working Paper
Empirical tests of two state-variable HJM models

Models for pricing interest rate claims, developed under the Heath-Jarrow-Morton paradigm, differ according to the volatility structure imposed on forward rates. For most general HJM structures the resultant path dependence creates implementation problems. Ritchken and Sankarasubramanian have recently identified necessary and sufficient conditions on the class of volatility structures of forward rates that enable the term structure dynamics to be captured by a finite set of state variables. The class is quite rich. The instantaneous spot rate volatility may be quite general, but the model ...
FRB Atlanta Working Paper , Paper 95-13

Working Paper
On flexibility, capital structure, and investment decisions for the insured bank

Most models of deposit insurance assume that the volatility of a bank's assets is exogenously provided. Although this framework allows the impact of volatility on bankruptcy costs and deposit insurance subsidies to be explored, it is static and does not incorporate the fact that equityholders can respond to market events by adjusting previous investment and leverage decisions. This paper presents a dynamic model of a bank that allows for such behavior. The flexibility of being able to respond dynamically to market information has value to equityholders. The impact and value of this ...
Working Papers (Old Series) , Paper 9110

Conference Paper
On credit spread slopes and predicting bank risk

Proceedings , Paper 938

Working Paper
Getting the most out of a mandatory subordinated debt requirement

Recent advances in asset pricing-the reduced-form approach to pricing risky debt and derivatives-are used to quantitatively evaluate several proposals for mandatory bank issue of subordinated debt. The authors find that credit spreads on both fixed- and floating-rate subordinated debt provide relatively clean signals of bank risk and are not unduly influenced by non-risk factors. Fixed-rate debt with a put is unacceptable, but making the putable debt floating resolves most problems. The authors' approach also helps to clarify several different notions of "bank risk."
Working Papers (Old Series) , Paper 0214

Working Paper
The changing role of banks and the changing value of deposit guarantees

Using a model for pricing deposit guarantees that treats the bank's investments as a portfolio of default-free bonds and risky loans, the authors push back uncertainty to the level of the borrowing firm and thus are able to explore how factors like firm leverage, loan maturity, and correlation effects between the firm's assets and interest rates affect the value of deposit guarantees.
Working Papers (Old Series) , Paper 9502

Working Paper
Interest rate option pricing with volatility humps

A development of a simple model in which interest rate claims are priced in the Heath-Jarrow-Morton paradigm and so incorporate full information on the term structure. The volatility structure for forward rates is humped and includes as a special case the exponentially dampened volatility structure used in the generalized Vasicek model.
Working Papers (Old Series) , Paper 9714

FILTER BY year

FILTER BY Content Type

FILTER BY Keywords

PREVIOUS / NEXT