Daniel A. Nuxoll

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(FDIC) and other bank supervisors have developed a number of tools with which to monitor the health of individual banks as well as the health of the industry as a whole. 1 One tool is on-site examinations: each bank is examined every 12 to 18 months and is assigned a CAMELS rating. 2 These examinations provide the most complete and reliable information(More)
This paper presents a general methodology for measuring and valuing the risk of the FDIC deposit insurance funds using the martingale valuation approach. The FDIC insurance funds capitalize a portfolio of insurance policies, each issued against the deposits of an individual commercial bank. To evaluate this portfolio, our methodology evaluates each(More)
This paper discusses a simulation model that is used in a martingale valuation approach to measure and value the risk of the FDIC deposit insurance funds. The FDIC insurance funds capitalize a portfolio of insurance policies, each issued to depositors of an individual commercial bank. To evaluate this portfolio, our methodology evaluates the insurance(More)
As part of its extensive off-site monitoring efforts, the Federal Deposit Insurance Corporation (FDIC) has evaluated banks' and thrifts' vulnerability to the stress of a real estate crisis similar to the crisis that occurred in New England in the early 1990s. 1 Asking what would happen to banks and thrifts today if the real estate market were to experience(More)
have developed several types of statistical models to monitor potential problems at individual banks off-site (that is, without having to visit bank premises). These off-site monitoring models tend to be “unconditional” forecasting models that use available data on a bank’s current and past condition to predict its future condition; they do not require the(More)
The views expressed here are those of the author(s) and not necessarily those of the Federal Deposit Insurance Corporation Abstract We explore the connection between the market for single-name credit default swaps (CDS) and the market for individual stock options. We find that the contemporaneous link between CDS spreads and option-implied volatilities is(More)
  • Eric P. Bloecher, Gary A. Seale, +12 authors Geri Bonebrake
  • 2003
The Federal Deposit Insurance Corporation has been exploring several options for reforming the risk-based deposit insurance system by more effectively differentiating risk among insured institutions. Each option involves trade-offs among a number of desirable attributes, since no one option possesses all of the attributes to the highest degree. This article(More)
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