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Working Paper
Technological change in large U.S. commercial banks
Working Paper
Financial signal processing: a self calibrating model
Previous work on multifactor term structure models has proposed that the short rate process is a function of some unobserved diffusion process. We consider a model in which the short rate process is a function of a Markov chain which represents the 'state of the world'. This enables us to obtain explicit expressions for the prices of zero-coupon bonds and other securities. Discretizing our model allows the use of signal processing techniques from Hidden Markov Models. This means we can estimate not only the unobserved Markov chain but also the parameters of the model, so the model is ...
Working Paper
Investment opportunity set, product mix, and the relationship between bank CEO compensation and risk-taking
The product mix changes that have occurred in banking organizations during the 1990s provide a natural experiment for investigating how firms adjust their executive compensation contracts as their mix of businesses changes. Deregulation and new technology have eroded banking organizations? comparative advantages and have made it easier for nonbank competitors to enter banking organizations? lending and deposit-taking businesses. In response, banking organizations have shifted their sale mix toward noninterest income by engaging in municipal revenue bond underwriting, commercial paper ...
Journal Article
Does multiproduct production in large banks reduce costs?
Newsletter
Discrimination in mortgage lending