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Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives
Kupiec, Paul H. - 2002
Advocates for internal model-based capital regulation argue that this approach will reduce costs and remove distortions that are created by rules-based capital regulations. These claims are examined using a Merton-style model of deposit insurance. Analysis shows that internal model-based capital...
Persistent link: https://www.econbiz.de/10014399573
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What's good for GM ...? : Using auto industry stock returns to forecast business cycles and test the Q-theory of investment
Duffee, Greg; Prowse, Stephen D. - 1996
Persistent link: https://www.econbiz.de/10000943988
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Estimating the price of default risk
Duffee, Greg - 1996
Persistent link: https://www.econbiz.de/10000946480
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On measuring credit risks of derivative instruments
Duffee, Greg - In: Journal of banking & finance 20 (1996) 5, pp. 805-833
Persistent link: https://www.econbiz.de/10001203315
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Term premia and interest rate forecasts in affine models
Duffee, Greg (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001577848
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Credit derivatives in banking : useful tools for managing risk?
Duffee, Greg; Zhou, Chunsheng - In: Journal of monetary economics 48 (2001) 1, pp. 25-54
Persistent link: https://www.econbiz.de/10001606056
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Credit derivatives in banking : useful tools for managing risk?
Duffee, Greg - 1997
Persistent link: https://www.econbiz.de/10000962036
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Term premia and interest rate forecasts in affine models
Duffee, Greg - In: The journal of finance : the journal of the American … 57 (2002) 1, pp. 405-443
Persistent link: https://www.econbiz.de/10001650385
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Information in (and not in) the term structure
Duffee, Greg - In: The review of financial studies 24 (2011) 9, pp. 2895-2934
Persistent link: https://www.econbiz.de/10009373091