Center for Financial Institutions Working Papers

From Wharton School Center for Financial Institutions, University of Pennsylvania
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00-41: Asset and Liability Modeling for Participating Policies with Guarantees

Andrea Consiglio, Flavio Cocco and Stavros Zenios

00-40: Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market

Marida Bertocchi, Rosella Giacometti and Stavros Zenios

00-39: Searching for the Value of Quality in Financial Services

Andreas C. Soteriou and Stavros Zenios

00-38: Optimal Bank Regulation and Monetary Policy

John Seater

00-37: On the Perils of Security Pricing by Financial Intermediaries: The Case of Open-End Mutual Funds

John M.R. Chalmers, Roger M. Edelen and Gregory B. Kadlec

00-36: Class Struggle Inside the Firm: A Study of German Codetermination

Gary Gorton and Frank Schmid

00-35: The Internet and the Future of Financial Services: Transparency, Differential Pricing and Disintermediation

Eric K. Clemons and Lorin Hitt

00-34: What Is Optimal Financial Regulation?

Richard J. Herring and Anthony M. Santomero

00-33: Are All Scale Economies in Banking Elusive or Illusive: Evidence Obtained by Incorporating Capital Structure and Risk Taking into Models of Bank Production

Joseph Hughes, Loretta Mester and Choon-Geol Moon

00-32: The Determinants Of Success In the New Financial Services Environment: Now That Firms Can Do Everything, What Should They Do And Why Should Regulators Care?

Anthony M Santomero and David L. Eckles

00-31: It's Not Just the ATMs: Technology, Firm Strategies, Jobs, and Earnings in Retail Banking

Larry W. Hunter, Annette Bernhardt, Katherine L. Hughes and Eva Skuratowicz

00-30: What Makes a High-Performance Workplace? Evidence from Retail Bank Branches

Larry W. Hunter and Lorin Hitt

00-29: Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian

Torben Andersen, Tim Bollerslev, Francis Diebold and Paul Labys

00-28: Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think

Sassan Alizadeh, Michael Brandt and Francis Diebold

00-27: The Distribution of Stock Return Volatility

Torben Andersen, Tim Bollerslev, Francis Diebold and Heiko Ebens

00-26: Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing

Anil Bangia, Francis Diebold and Til Schuermann

00-25: Banking on Gambling: Banks and Lottery-Linked Deposit Accounts

Mauro F. Guillén and Adrian Tschoegl

00-24: Financial Market Regulation: The Case of Italy and a Proposal for the Euro Area

Giorgio Di Giorgio, Carmine Di Noia and Laura Piatti

00-23: Optimal Currency Crises

Franklin Allen and Douglas Gale

00-22: The Basis Risk of Catastrophic-Loss Index Securities

John Cummins, David Lalonde and Richard Phillips

00-21: Loanable Funds, Monitoring and Banking

Huberto Ennis

00-20: Bank Competition and Firm Creation

Emilia Bonaccorsi di Patti, Giovanni Dell and Ariccia#x2019

00-19: Banking Market Structure, Financial Dependence and Growth: International Evidence from Industry Data

Nicola Cetorelli and Michele Gambera

00-18: Competition, Growth, and Performance in the Banking Industry

Bert Scholtens

00-17: A Comparative Study of Efficiency in European Banking

Barbara Casu and Philip Molyneux

00-16: Don’t Put All Your Eggs in One Basket? Diversification and Specialization in Lending

Andrew Winton

00-15: Interconnection and Rivalry between Banks

John Weinberg

00-14: Banking Relations, Competition and Research Incentives

Thomas Gehrig

00-13: Relationship Banking and Competition under Differentiated Asymmetric Information

Robert Hauswald and Robert Marquez

00-12: The Dynamics of Market Entry: The Effects of Mergers and Acquisitions on De Novo Entry and Small Business Lending in the Banking Industry

Allen Berger, Seth D. Bonime, Lawrence G. Goldberg and Lawrence White

00-11: Should Banking Supervision and Monetary Policy Tasks Be Given to Different Agencies

Carmine Di Noia and Giorgio Di Giorgio

00-10: Learning by Lending, Competition, and Screening Incentives in the Banking Industry

Giovanni Dell and Ariccia#x2019

00-09: Screening, Bidding, and the Loan Market Tightness

Melanie Cao and Shouyong Shi

00-08: Holders of the Purse Strings: Governance and Performance of Public Retirement Systems

Michael Useem and Olivia Mitchell

00-07: Developments in Retirement Provision: Global Trends and Lessons from Australia and the US

Olivia Mitchell and John Piggott

00-06: New Trends in Pension Benefit and Retirement Provisions

Olivia Mitchell

00-05: The Visible Hand, The Invisible Hand and Efficiency

Eitan Goldman and Gary Gorton

00-04: Consumer Response to Changes in Credit Supply: Evidence from Credit Card Data

David B. Gross and Nicholas Souleles

00-03: The Wildcard Option in Transacting Mutual-Fund Shares

John M.R. Chalmers, Roger M. Edelen and Gregory B. Kadlec

00-02: Transaction-cost Expenditures and the Relative Performance of Mutual Funds

John M.R. Chalmers, Roger M. Edelen and Gregory B. Kadlec

00-01: Can Firms Learn to Acquire? Do Markets Notice?

Maurizio Zollo and Dima Leshchinkskii

99-44: Testing, Comparing, and Combining Value at Risk Measures

Peter Christoffersen, Jinyong Hahn and Atsushi Inoue

99-43: Financial Risk Management in a Volatile Global Environment

Francis Diebold and Anthony M. Santomero

99-42: The Key to Risk Management: Management

Adrian Tschoegl

99-41: At Last the Internationalization of Retail Banking? The Case of the Spanish Banks in Latin America

Mauro F. Guillén and Adrian Tschoegl

99-40: A Single-Server Queue with Markov Modulated Service Times

Yong-Pin Zhou and Noah Gans

99-39: Managing Learning and Turnover in Employee Staffing

Noah Gans and Yong-Pin Zhou

99-38: The Incentive Effects of No Fault Automobile Insurance

John Cummins, Mary Weiss and Richard Phillips

99-37: Marriages of Convenience and Other Trade-offs: Exploring the Ambivalent Nature of Organizational Relationships

Michael G. Pratt and Lorna Doucet

99-36: Offer Price, Target Ownership Structure and IPO Performance

Chitru S. Fernando, Srinivasan Krishnamurthy and Paul A. Spindt