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On the valuation of deposit institutions

Author

Listed:
  • Asli Demirgüč-Kunt

Abstract

The author develops an empirical model to value a financial institution's capital for regulatory purposes, which when estimated for a sample of failed and nonfailed institutions, reveals the need for a market-value accounting approach to capital.

Suggested Citation

  • Asli Demirgüč-Kunt, 1991. "On the valuation of deposit institutions," Working Papers (Old Series) 9104, Federal Reserve Bank of Cleveland.
    • Handle: RePEc:fip:fedcwp:9104
    as

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    References listed on IDEAS

    as
    1. John H. Kareken, 1983. "Deposit insurance reform or deregulation is the cart, not the horse," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 7(Spr).
    2. Allan H. Meltzer, 1967. "Major Issues in the Regulation of Financial Institutions," Journal of Political Economy, University of Chicago Press, vol. 75(4), pages 482-482.
    3. Godfrey, Leslie G & McAleer, Michael & McKenzie, Colin R, 1988. "Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 492-503, August.
    4. David Pyle, 1984. "Deregulation and deposit insurance reform," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 5-15.
    5. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    6. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
    7. Buser, Stephen A & Chen, Andrew H & Kane, Edward J, 1981. "Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital," Journal of Finance, American Finance Association, vol. 36(1), pages 51-60, March.
    8. Ronn, Ehud I & Verma, Avinash K, 1986. "Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model," Journal of Finance, American Finance Association, vol. 41(4), pages 871-895, September.
    9. James R. Barth & R. Dan Brumbaugh & Daniel Sauerhaft & George Wang, 1985. "Thrift institution failures: causes and policy issues," Proceedings 68, Federal Reserve Bank of Chicago.
    10. Asli Demirgüč-Kunt, 1989. "Modeling large commercial-bank failures: a simultaneous-equation analysis," Working Papers (Old Series) 8905, Federal Reserve Bank of Cleveland.
    11. William F. Sharpe, 1977. "Bank Capital Adequacy, Deposit Insurance and Security Values, Part I," NBER Working Papers 0209, National Bureau of Economic Research, Inc.
    12. Edward J. Kane, 1985. "The Gathering Crisis in Federal Deposit Insurance," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262611856, April.
    13. W. F. Sharpe, 1981. "Bank Capital Adequacy, Deposit Insurance, and Security Values," NBER Chapters, in: Risk and Capital Adequacy in Commercial Banks, pages 187-202, National Bureau of Economic Research, Inc.
    14. Black, Fischer & Miller, Merton H & Posner, Richard A, 1978. "An Approach to the Regulation of Bank Holding Companies," The Journal of Business, University of Chicago Press, vol. 51(3), pages 379-412, July.
    15. James B. Thomson, 1987. "FSLIC forbearances to stockholders and the value of savings and loan shares," Economic Review, Federal Reserve Bank of Cleveland, issue Q III, pages 26-35.
    16. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    17. Marcus, Alan J & Shaked, Israel, 1984. "The Valuation of FDIC Deposit Insurance Using Option-pricing Estimates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(4), pages 446-460, November.
    18. Sherman J. Maisel, 1981. "Risk and Capital Adequacy in Commercial Banks," NBER Books, National Bureau of Economic Research, Inc, number mais81-1.
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    Keywords

    Bank capital; Bank failures;

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