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Operational efficiency in banking: An international comparison
Abstract In this paper, we estimate a global cost function for international banks to test for both input and output inefficiencies. Our results for 1988–1992 suggest that for banks in 15 countries,Expand
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The Determinants of Bank Interest Margins: A Note
The Ho-Saunders model (1981) is extended to consider the case of loan heterogeneity. Pure interest spreads may be reduced when cross-elasticities of demand between bank products are considered. TheExpand
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Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future usingExpand
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A Survey of Cyclical Effects in Credit Risk Measurement Models
We survey both academic and proprietary models to examine how macroeconomic and systematic risk effects are incorporated into measures of credit risk exposure. Many models consider the correlationExpand
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The risk effects of combining banking, securities, and insurance activities
Abstract We create synthetic universal banks to examine the impact of securities and insurance activities on the banking firms’ risk. We find that these nonbank activities reduce the overall risk toExpand
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Issues in the Credit Risk Modeling of Retail Markets
Retail loan markets create special challenges for credit risk assessment. Borrowers tend to be informationally opaque and borrow relatively infrequently. Retail loans are illiquid and do not trade inExpand
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Cyclicality in Catastrophic and Operational Risk Measurements
Using equity returns for financial institutions we estimate both catastrophic and operational risk measures over the period 1973–2003. We find evidence of cyclical components in both the catastrophicExpand
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Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature
Procyclicality has emerged as a potential drawback to adoption of risk-sensitive bank capital requirements. Systematic risk factors may result in increases (decreases) in bank capital requirementsExpand
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Forbearance and valuation of deposit insurance as a callable put
Abstract Previous research evaluating deposit insurance as a put option has ignored the ability of the deposit insurer (put writer) to control the timing of the put's exercise via closure decisions.Expand
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The Basel Capital Accords and International Mortgage Markets: A Survey of the Literature
This paper surveys the literature on the impacts of the Basel Capital Accords on banking market profitability, competitiveness, structure and risk-taking. Special emphasis is applied to the evolutionExpand
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