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Portfolio analysis of asset and liability management in small-, medium- and large-sized banks

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  • Francis, Jack Clark

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  • Francis, Jack Clark, 1978. "Portfolio analysis of asset and liability management in small-, medium- and large-sized banks," Journal of Monetary Economics, Elsevier, vol. 4(3), pages 459-480, August.
    • Handle: RePEc:eee:moneco:v:4:y:1978:i:3:p:459-480
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    Cited by:

    1. Olivier De Jonghe & Mustafa Disli & Koen Schoors, 2012. "Corporate Governance, Opaque Bank Activities, and Risk/Return Efficiency: Pre- and Post-Crisis Evidence from Turkey," Journal of Financial Services Research, Springer;Western Finance Association, vol. 41(1), pages 51-80, April.
    2. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2007. "Mean-variance portfolio selection with `at-risk' constraints and discrete distributions," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3761-3781, December.
    3. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2021. "Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule," Journal of International Money and Finance, Elsevier, vol. 119(C).
    4. Gordon J. Alexander & Alexandre M. Baptista, 2017. "Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(4), pages 603-634, June.
    5. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
    6. Aydın Ulucan, 2007. "An analysis of mean-variance portfolio selection with varying holding periods," Applied Economics, Taylor & Francis Journals, vol. 39(11), pages 1399-1407.
    7. Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1631-1660, October.
    8. Coon, Randal C. & Pokharel, Champak P. & Pederson, Glenn D., 1986. "Interest Margin And Agricultural Bank Performance: A Preliminary Analysis," Staff Papers 13894, University of Minnesota, Department of Applied Economics.

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