This paper proposes a new method to measure and monitor the risk in a banking system.
Standard tools that regulators require banks to use for their internal risk management are …

The deadweight costs of financial distress limit many firms' incentive to include a lot of (tax-
advantaged) debt in their capital structures. It is therefore puzzling that firms do not make …

We propose a new method for the analysis of systemic stability of a banking system relying
mostly on market data. We model both asset correlations and interlinkages from interbank …

The study examines the effect of interest rate spread on the profitability of commercial banks
in Ghana. The study measured interest rate spread using net interest income (IntSp) and net …

We carry out a quantitative analysis of the financing measures proposed for the European
Deposit Insurance Scheme (EDIS) regarding the target level of the fund and the contribution …

In this paper we perform an empirical analysis to identify systemically important banks by a
few individual bank characteristics that are easy to observe in practice. This analysis builds …

Based on the Merton (1977) put option framework, we develop a deposit insurance pricing
model that incorporates asset correlations, a measurement for the systematic risk of a bank …

The purpose of this study is to examine the relationships between return and trading volume
as well as between return volatility and trading volume by analyzing the asymmetric …

A multiperiod model is developed to measure the costs posed to the guaranty fund in a
setting that incorporates risk-based capital regulations, interest rate risk and the possibility of …

As homoscedasticity assumption of asset return is questionable, traditional deposit
insurance pricing analysis based on the Black-Scholes model always performs poorly. This …