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Working Paper
Australian banking risk: evidence from share prices
We use share price data to calculate bank asset volatilities, market capital-asset ratios, and the public-sector depositor protection liability for Australia. The results show that the average capital ratio for the Australian banking sector has risen over the past decade, while the riskiness of bank assets has increased slightly. An examination of the relationship between asset volatility and bank capital implies that riskier banks have tended to maintain higher capital ratios, with a similar positive relationship between the two variables over time at individual banks. We find that the ...
Journal Article
Competitive forces and profit persistence in banking
Journal Article
Changing the $100,000 deposit insurance limit
Working Paper
A simple approach to better deposit insurance pricing
Conference Paper
A simple approach to better deposit insurance pricing
Conference Paper
Beyond traditional credit risk: capital standards for market risks
Conference Paper
Will banking be profitable in the long run?
Conference Paper
What happens if banks are closed "early"?
Journal Article
Market risk and bank capital: part 2