A simultaneous equation model is developed that jointly determines net interest margin and various maturity gaps. Using annual data for the majority of the population of insured commercial banks, this model is estimated for the years 1984 to 1987 (the only years for which repricing data were...

This study identifies the factors affecting the ratings assigned to Canadian firms by the rating agency Standard and Poor's, and proposes a multinomial logit model to predict ratings. We first propose a two-class model which classifies ratings as either investment or speculative grade. We then...

We investigate the role of foreign banks and access to the regional stock market in the relationship between bank capital, competition and liquidity creation in the West African Economic and Monetary Union (WAEMU) countries using hand-collected bank-level data for 2000-2017. We uncover new...

Previous empirical studies on catastrophe (CAT) bond premium calculations rely almost exclusively on actuarial models, and usually compare their accuracy strictly in terms of in-sample t and predictive power. We contribute to this literature by deriving a utility-based specification for pricing...