Center for Financial Institutions Working Papers

From Wharton School Center for Financial Institutions, University of Pennsylvania
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96-29: On the Risk of Life Insurance Liabilities: Debunking Some Common Pitfalls

Eric Briys and François de Varenne

96-28: Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach

Kenneth Froot and Jeremy Stein

96-27: How Are Derivatives Used? Evidence from the Mutual Fund Industry

Jennifer Koski and Jeffrey Pontiff

96-26: Corporate Hedging in the Insurance Industry: The Use of Financial Derivatives by U.S. Insurers

John Cummins, Richard Phillips and Stephen D. Smith

96-25: An Integrated Approach to Hedging and Pricing Eurodollar Derivatives

Robert Jarrow and Stuart Turnbull

96-24: Risks in Derivatives Markets

Clifford W. Smith96-24 Risks in Derivatives Markets Ludger Hentschel

96-22: Controlling Information Premia by Repackaging Asset-Backed Securities

Alexander David

96-21: The Effect of Risk-Based Capital on Life Insurers' Investment Portfolios

Kathy Petroni and Douglas Shackelford

96-20: Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products

Knut Aase and Svein-Arne Persson

96-19: Intertemporal Insurance

Bryan Ellickson and José Penalva-Zuasti

96-18: Empirical Tests of Models of Catastrophe Insurance Futures

Knut Aase and Bernt Ødegaard

96-17: Actuarial versus Financial Pricing of Insurance

Paul Embrechts

96-16: Risk Management by Insurers: An Analysis of the Process

David Babbel and Anthony M. Santomero

96-15: The Role of Monitoring in Reducing the Moral Hazard Problem Associated with Government Guarantees: Evidence from the Life Insurance Industry

Elijah Brewer, Thomas H. Mondschean and Philip Strahan

96-14: An Investigation of the Performance of the U.S. Property-Casualty Insurance Industry

Thomas A. Pugel, Anthony Saunders and N. K. Chidambaran

96-13: Risk-Taking Behavior with Limited Liability and Risk Aversion

Christian Gollier, Pierre-François Koehl and Jean Rochet

96-12: Catastrophe Insurance, Capital Markets and Uninsurable Risks

Dwight M. Jaffee and Thomas Russell

96-11: Universal Banking and the Performance of German Firms Federal Reserve Bank of Chicago

Gary Gorton and Frank A. Schmid

96-10: Productivity and Technical Efficiency in the Italian Insurance Industry

John Cummins and Giuseppe Turchetti

96-09: Financial Pricing of Insurance in the Multiple Line Insurance Company

Richard Phillips, John Cummins and Franklin Allen

96-08: Alternative Monies and the Demand for Media of Exchange

Anthony M. Santomero and John Seater

96-07: To Sell or Not To Sell: Determining the Tradeoffs between Service and Sales in Retail Banking Phone Centers

O. Zeynep Aksin and Patrick T. Harker

96-06: The Transformation of the U.S. Banking Industry: What a Long, Strange Trip It's Been

Allen Berger, Anil Kashyap and Joseph Scalise

96-05: Hedging and Coordinated Risk Management: Evidence from Thrift Conversions

Catherine M. Schrand and Haluk Unal

96-04: Process Design and Efficiency: Evidence from Retail Banking Hedging and Coordinated Risk Management: Evidence from Thrift Conversions

Frances X. Frei and Patrick T. Harker

96-03: The Effects of Megamergers on Efficiency and Prices: Evidence from a Bank Profit Function

Jalal Akhavein, Allen Berger and David B. Humphrey

96-02: Computing Performance Measures in a Multi-Class Multi-Resource Processor-Shared Loss System

O. Zeynep Aksin and Patrick T. Harker

96-01: Problem Loans and Cost Efficiency in Commercial Banks

Allen Berger and Robert DeYoung

95-24: Using Wharton's FDIC Research Database

Jalal Akhavein

95-23: The Effect of Regulatory Oversight on Internal and External Mechanisms to Change Corporate Control

Douglas O. Cook, Arthur Hogan and Robert Kieschnick

95-22: Projections onto Efficient Frontiers: Theoretical and Computational Extensions to DEA

Frances X. Frei and Patrick T. Harker

95-21: Stochastic Growth Prospects and Corporate Demand for Lines of Credit

J. Spencer Martin and Anthony M. Santomero

95-20: Universal Banking, Intertemporal Smoothing and European Financial Integration

Franklin Allen and Douglas Gale

95-19: Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of JP Morgan's RiskMetrics™

Michael Phelan

95-18: The Impact of Information Technology on the Organization of Economic Activity: The "Move to the Middle" Hypothesis

Eric K. Clemons, Sashidhar P. Reddi and Michael C. Rowe

95-17: Universal Banking and the Future of Small Business Lending

Allen Berger and Gregory Udell

95-16: Recovering Technologies that Account for Generalized Managerial Preferences: An Application to Non-Risk-Neutral Banks

Joseph Hughes, William Lang, Loretta Mester and Choon-Geol Moon

95-15: Regulatory Misconceptions in Pricing Thrift Conversions: A Closer Look at the Appraisal Process

Haluk Unal

95-14: Banking Markets: Productivity, Risk, and Customer Satisfaction

Gerald R. Faulhaber

95-13: The Coexistence of Multiple Distributions Systems for Financial Services: The Case of Property-Liability Insurance

Allen Berger, John Cummins and Mary Weiss

95-12: The Impact of I.T. on the Degree of Outsourcing, the Number of Suppliers, and the Duration of Contracts

Eric K. Clemons and Sashidhar P. Reddi

95-11: Commercial Bank Risk Management: An Analysis of the Process

Anthony M. Santomero

95-10: Noise Trading, Delegated Portfolio Management, and Economic Welfare

James Dow and Gary Gorton

95-09: Corporate Control, Portfolio Choice, and the Decline of Banking

Gary Gorton and Richard Rosen

95-08: The Role of the Financial Sector in Economic Performance

Richard J. Herring and Anthony M. Santomero

95-07: Banks and Derivatives

Gary Gorton and Richard Rosen

95-06: nsolvency Experience, Risk-Based Capital, and Prompt Corrective Action in Property-Liability Insurance

John Cummins, Scott E. Harrington and Robert Klein

95-05: The Place of Risk Management in Financial Institutions

George S. Oldfield and Anthony M. Santomero

95-04: How Will Competition Change Human Resource Management in Retail Banking? A Strategic Perspective

Larry W. Hunter

95-03: Performance in Consumer Financial Services Organizations: Framework and Results from the Pilot Study

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