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A contingent claim analysis of a regulated depository institution

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  • Crouhy, Michel
  • Galai, Dan

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  • Crouhy, Michel & Galai, Dan, 1991. "A contingent claim analysis of a regulated depository institution," Journal of Banking & Finance, Elsevier, vol. 15(1), pages 73-90, February.
    • Handle: RePEc:eee:jbfina:v:15:y:1991:i:1:p:73-90
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    Cited by:

    1. Iftekhar Hasan & Sudipto Sarkar, 2002. "Banks' option to lend, interest rate sensitivity, and credit availability," Review of Derivatives Research, Springer, vol. 5(3), pages 213-250, October.
    2. Heller, Yuval & Peleg Lazar, Sharon & Raviv, Alon, 2022. "Banks’ risk taking and creditors’ bargaining power," Journal of Corporate Finance, Elsevier, vol. 74(C).
    3. Moshe Buchinsky & Oved Yosha, 1995. "Evaluating the Probability of Failure of a Banking Firm," Cowles Foundation Discussion Papers 1108, Cowles Foundation for Research in Economics, Yale University.
    4. Camara, Antonio & Davidson, Travis & Fodor, Andrew, 2020. "Bank asset structure and deposit insurance pricing," Journal of Banking & Finance, Elsevier, vol. 114(C).
    5. Episcopos, Athanasios, 2008. "Bank capital regulation in a barrier option framework," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1677-1686, August.
    6. Georges Dionne, 2003. "The Foundations of Banks' Risk Regulation: a Review of the Literature," Cahiers de recherche 0346, CIRPEE.
    7. Jyh-Horng Lin & Pei-Chi Lii & Fu-Wei Huang & Shi Chen, 2019. "Cross-Border Lending, Government Capital Injection, and Bank Performance," IJFS, MDPI, vol. 7(2), pages 1-20, April.
    8. Dermine, Jean & Lajeri, Fatma, 2001. "Credit risk and the deposit insurance premium: a note," Journal of Economics and Business, Elsevier, vol. 53(5), pages 497-508.
    9. Ivilina Popova & Peter H. Ritchken & James B. Thompson, 1995. "The changing role of banks and the changing value of deposit guarantees," Working Papers (Old Series) 9502, Federal Reserve Bank of Cleveland.
    10. Alistair Milne & A Elizabeth Whalley, 1999. "Bank capital and risk taking," Bank of England working papers 90, Bank of England.
    11. Li, Xuelian & Chen, Lingzhi & Lin, Jyh-Horng, 2023. "Cap-and-trade mechanisms, green technology investment, and shadow insurance in a black swan environment," Energy Economics, Elsevier, vol. 124(C).
    12. Barucci, Emilio & Del Viva, Luca, 2012. "Countercyclical contingent capital," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1688-1709.
    13. Shi Chen & Fu-Wei Huang & Jyh-Horng Lin, 2022. "Borrowing-Firm Emission Trading, Bank Rate-Setting Behavior, and Carbon-Linked Lending under Capital Regulation," Sustainability, MDPI, vol. 14(11), pages 1-14, May.
    14. repec:zbw:bofrdp:2002_015 is not listed on IDEAS
    15. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    16. Sharon Peleg†Lazar & Alon Raviv, 2017. "Bank Risk Dynamics Where Assets are Risky Debt Claims," European Financial Management, European Financial Management Association, vol. 23(1), pages 3-31, January.
    17. Jin-Chuan, Duan & Moreau, Arthur F. & Sealey, C. W., 1995. "Deposit insurance and bank interest rate risk: Pricing and regulatory implications," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1091-1108, September.
    18. Sumon C. Mazumdar, 1996. "Bank Regulations, Capital Structure, And Risk," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 209-228, June.
    19. Michel Crouhy & Dan Galai, 2018. "Are Banks Special?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 1-19, December.
    20. Anlong Li & Peter H. Ritchken & L. Sankarasubramanian & James B. Thomson, 1993. "Regulatory taxes, investment, and financing decision for insured banks," Working Papers (Old Series) 9303, Federal Reserve Bank of Cleveland.
    21. Jyh-Jiuan Lin & Chuen-Ping Chang & Shi Chen, 2018. "How Does Distress Acquisition Incentivized by Government Purchases of Distressed Loans Affect Bank Default Risk?," Risks, MDPI, vol. 6(2), pages 1-16, April.
    22. Lin, Jyh-Horng, 2000. "A contingent claim analysis of a rate-setting financial intermediary," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 375-386, October.
    23. Chen, Andrew H. & Hung, Mao-Wei & Mazumdar, Sumon C., 1995. "Loan covenants and corporate debt policy under bank regulations," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1419-1436, November.
    24. Calem, Paul & Rob, Rafael, 1999. "The Impact of Capital-Based Regulation on Bank Risk-Taking," Journal of Financial Intermediation, Elsevier, vol. 8(4), pages 317-352, October.
    25. Iftekhar Hasan & Sudipto Sarkar, 2002. "Banks' option to lend, interest rate sensitivity, and credit availability," Review of Derivatives Research, Springer, vol. 5(3), pages 213-250, October.

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