Alfred Lehar

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The views and findings of this paper are entirely those of the authors and do not necessarily represent the views of Oesterreichische Nationalbank. Abstract In this paper we suggest a new approach to risk assessment for banks. Rather than looking at them individually we analyze risk at the level of the banking system. Such a perspective is necessary because(More)
* The views and findings of this paper are entirely those of the authors and do not necessarily represent the views of the Bank of Canada. Abstract In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial(More)
Papers published in this report series are preliminary versions of journal articles and not for quotations. Abstract This paper examines the out-of-sample performance of two common extensions of the Black-Scholes framework, namely a GARCH and a stochastic volatility option pricing model. The models are calibrated to intraday FTSE 100 option prices. We apply(More)
Existing regulatory capital requirements are often criticized for being only loosely linked to the economic risk of the banks' assets. In view of the attempts of international regulators to introduce more risk sensitivene capital requirements, we theoretically examine the effect of specific regulatory capital requirements on the risk taking behavior of(More)
A number of OECD countries experienced an environment of low interest rates and a rapid increase in real house prices and residential investment during the past decade. Different explanations have been suggested for the housing boom: expansionary monetary policy, capital inflows due to a global savings glut and excessive financial innovation combined with(More)
Lenders that fund larger shares of a syndicated loan typically receive larger percentage upfront fees than smaller lenders. This paper studies sovereign syndicated loan contracts in the period 1982-2006 to explore this fact. In our dataset of 288 contracts large lenders obtain on average an 8.5 percent higher return on their funds than small lenders who(More)
Bank of England and the London School of Economics for their hospitality during the work on this paper. The views and findings of this paper are entirely those of the authors and do not necessarily represent the views of Oesterreichische Nationalbank. Abstract This paper proposes a new method to measure and monitor the risk in a banking system. Standard(More)
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