Center for Financial Institutions Working Papers

From Wharton School Center for Financial Institutions, University of Pennsylvania
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97-24: On the Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance

Kenneth Froot and Paul G.J. O'Connell

97-22: Acceptable Risk: A Study of Global Currency Trading Rooms in the US and Japan

Srilata A. Zaheer

97-21: Linking and Weighting Efficiency Estimates with Stock Performance in Banking Firms

Belarmino Adenso-Díaz and Fernando Gascón

97-20: Inside the Black Box: What Makes a Bank Efficient?

Frances X. Frei, Patrick T. Harker and Larry W. Hunter

97-19: Country and Firm Sources of International Competitiveness: The Case of the Foreign Exchange Market

Adrian Tschoegl

97-18: Profits and Productivity

C. Lovell and Emili Grifell-Tatje

97-17: Disentangling Within- and Between-Country Efficiency Differences of Bank Branches

Antreas D. Athanassopoulos, Andreas Soteriou and Stavros Zenios

97-16: Product Focus versus Diversification: Estimates of X-Efficiency for the US Life Insurance Industry

Joseph W. Meador and Harley E. Ryan

97-15: Empirical Evidence on the Duration of Bank Relationships

Steven Ongena and David C. Smith

97-14: The Competitive Performance of Life Insurance Firms in the Retirement Asset Market

Harris Chorney, Jill Goldman, Olivia Mitchell and Anthony M. Santomero

97-13: Life Insurance Firms in the Retirement Market: Is the News All Bad?

Paul Hoffman and Anthony M. Santomero

97-12: Retirement Wealth Accumulation and Decumulation: New Developments and Outstanding Opportunities

Olivia Mitchell and James F. Moore

97-11: Monies and Banking

Anthony M. Santomero and John Seater

97-10: Strategies or Routines ? Knowledge Codification, Path-Dependence and the Evolution of Post-Acquisition Integration Practices in the U.S. Banking Industry

Maurizio Zollo

97-09: Examining the Contribution of Information Technology Toward Productivity and Profitability in U.S. Retail Banking

Baba Prasad and Patrick T. Harker

97-08: Property Exemptions and Loan Repayments

Richard Hynes

97-07: The Value Effects of Bank Mergers and Acquisitions

Steven J. Pilloff and Anthony M. Santomero

97-06: Is Share Price Related to Marketability? Evidence from Mutual Fund Share Splits

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

97-05: Efficiency of Financial Institutions: International Survey and Directions for Future Research

Allen Berger and David B. Humphrey

97-04: Inside the Black Box: What Explains Differences in the Efficiencies of Financial Institutions?

Allen Berger and Loretta Mester

97-03: Comparison of Frontier Efficiency Methods: An Application to the U.S. Life Insurance Industry

John Cummins and Hongmin Zi

97-02: Organizational Form and Efficiency: An Analysis of Stock and Mutual Property-Liability Insurers

John Cummins, Mary Weiss and Hongmin Zi

97-01: Optimal Financial Crises

Franklin Allen and Douglas Gale

96-56: The Future of the Japanese Financial System

Franklin Allen

96-55: The Exchange Rate Exposure of U.S. and Japanese Banking Institutions

Sandra L. Chamberlain, John S. Howe and Helen Popper

96-54: European Banking with a Single Currency

Jean Dermine

96-53: Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks

Jongmoo Jay Choi and Elyas Elyasiani

96-52: Derivatives Activity at Troubled Banks

Joe Peek and Eric Rosengren

96-51: Regulatory Evaluation of Value-at-Risk Models

Jose Lopez

96-50: Stress Tests of Capital Requirements

Elroy Dimson and Paul Marsh

96-49: Calculating Value-at-Risk

William Fallon

96-48: Evaluating Value-at-Risk Methodologies: Accuracy versus Computational Time

Matthew Pritsker

96-47: Value at Risk: Implementing a Risk Measurement Standard

Christopher Marshall and Michael Siegel

96-46: Stopping Information Asymmetries in Government from Promoting Risk Shifting by Banks

Edward Kane

96-45: Interest Rate Exposure and Bank Mergers: A Preliminary Empirical Analysis

Benjamin Esty, Bhanu Narasimhan and Peter Tufano

96-44: The Market Value and Dynamic Interest Rate Risk of Swaps

Andrew H. Chen and Mohammed M. Chaudhury

96-43: Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure

Beverly Hirtle

96-42: Banks and Credit Derivatives: Is It Always Good to Have More Risk Management Tools?

Greg Duffee and Chungsheng Zhou

96-41: Corporate Bond and Commercial Loan Portfolio Analysis

Edward Altman

96-40: RAROC Based Capital Budgeting and Performance Evaluation: A Case Study of Bank Capital Allocation

Christopher James

96-39: Market Discipline in Conglomerate Banks: Is an Internal Allocation of Cost of Capital Necessary as an Incentive Device?

Arnoud Boot and Anjolein Schmeits

96-38: The Owner-Manager Conflict in Insured Banks: Predetermined Salary vs. Bonus Payments

Ben Schreiber

96-37: A Market-Based Risk Classification of Financial Institutions

Alan C. Hess and Kirati Laisathit

96-36: Risk and Market Segmentation in Financial Intermediaries’ Returns

Linda Allen and Julapa Jagtiani

96-35: Bank Risk, Capitalization and Inefficiency

Simon Kwan and Robert Eisenbeis

96-34: The Regulatory and Public Policy Agenda for Effective Intermediation in Post Socialist Economies

Anthony M. Santomero

96-33: Financial Markets, Intermediaries and Intertemporal Smoothing

Franklin Allen and Douglas Gale

96-32: The Theory of Financial Intermediation

Franklin Allen and Anthony M. Santomero

96-31: Measuring the Efficiency of Service Delivery Processes: With Application to Retail Banking Journal of Service Research

Frances X. Frei and Patrick Harker

96-30: Hedging the Tax Liability of a Property-Liability Insurance Company

Richard Derrig and Krzysztof Ostaszewski