This paper develops a framework for examining the impact of changes in the solvency standard of a bank (target credit rating) on the pricing of bank assets. We show that the decision of a bank to increase its solvency standard increases the price of bank assets to the extent that a bank prices its assets in order to earn a minimum return on target economic equity. However, a higher credit rating should also reduce the cost of rated-debt that a bank uses to fund its assets. We develop a loan pricing model to assess the breakeven point at which the impact of a higher solvency standard on bank asset prices is matched by the reduction in the cost of rated-debt, and compare our theoretically-derived results to actual credit spreads on bank debt ...
We create a structural credit model to calculate the optimal capital structure for a bank that provi...
Do heightened capital requirements impose private costs on banks by adversely affecting their cost ...
Central banks need a new type of quantitative models for guiding their financial stability decisions...
An increase in the credit rating on an organisation’s debt is generally perceived positively, as hig...
Within the context of a banking institution, economic capital is a statistical measure of the amount...
In banking, economic capital is commonly referred to as the level of capital a financial institution...
This article reports estimates of the long-run costs and benefits of having banks fund more of their...
This dissertation consists of two chapters. In the first chapter, I study both theoretical and quant...
This paper presents a model of the financing choices (debt v. equity) of banking in-stitutions. It e...
Do heightened capital requirements impose private costs on banks by adversely affecting their cost o...
In this paper, we present a model that demonstrates the e®ect of debt on cost of capital and value i...
In this paper, we present a model that demonstrates the e®ect of debt on cost of capital and value ...
Do heightened capital requirements impose private costs on banks by adversely affecting their cost o...
Using a sample of 178 publicly traded Bank Holding Companies (BHCs) in the period between 1994 and 2...
International audienceThis paper considers the capital structure of a bank in a continuous-time regi...
We create a structural credit model to calculate the optimal capital structure for a bank that provi...
Do heightened capital requirements impose private costs on banks by adversely affecting their cost ...
Central banks need a new type of quantitative models for guiding their financial stability decisions...
An increase in the credit rating on an organisation’s debt is generally perceived positively, as hig...
Within the context of a banking institution, economic capital is a statistical measure of the amount...
In banking, economic capital is commonly referred to as the level of capital a financial institution...
This article reports estimates of the long-run costs and benefits of having banks fund more of their...
This dissertation consists of two chapters. In the first chapter, I study both theoretical and quant...
This paper presents a model of the financing choices (debt v. equity) of banking in-stitutions. It e...
Do heightened capital requirements impose private costs on banks by adversely affecting their cost o...
In this paper, we present a model that demonstrates the e®ect of debt on cost of capital and value i...
In this paper, we present a model that demonstrates the e®ect of debt on cost of capital and value ...
Do heightened capital requirements impose private costs on banks by adversely affecting their cost o...
Using a sample of 178 publicly traded Bank Holding Companies (BHCs) in the period between 1994 and 2...
International audienceThis paper considers the capital structure of a bank in a continuous-time regi...
We create a structural credit model to calculate the optimal capital structure for a bank that provi...
Do heightened capital requirements impose private costs on banks by adversely affecting their cost ...
Central banks need a new type of quantitative models for guiding their financial stability decisions...