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The Wharton Financial Institutions Center
(24 results)-
White Papers
What We Know, Don't Know And Can't Know About Bank Risk: A View From The Trenches
March 23, 2008, 12:00am PDT
This paper seeks to put forward a framework, from the perspective of practitioners and policymakers, for how the known, unknown, and unknowable vary by risk type within banking. The authors define...
Provided by The Wharton Financial Institutions Center
-
White Papers
Bankruptcy, Finance Constraints And The Value Of The Firm
November 10, 2010, 12:00am PST
The authors study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature and default may lead to the sale of the firms' assets at...
Provided by The Wharton Financial Institutions Center
-
White Papers
Commentary: Capital Regulation And Risk Sharing
July 16, 2010, 12:00am PDT
Minimum capital requirements are one of the three "Pillars" of macro-prudential regulation. As a result of the financial crisis of 2008-09, there have been proposals to increase the amount of...
Provided by The Wharton Financial Institutions Center
-
White Papers
Rollover Risk And Market Freezes
October 18, 2010, 12:00am PDT
The crisis of 2007-09 has been characterized by a sudden freeze in the market for short-term, secured borrowing. The authors present a model that can explain a sudden collapse in the amount that...
Provided by The Wharton Financial Institutions Center
-
White Papers
Entrepreneurial Spawning And Firm Characteristics
January 1, 2011, 12:00am PST
The authors analyze the implications of entrepreneurial spawning for a variety of firm characteristics such as size, focus, profitability, and innovativeness. The authors examine the dynamics of...
Provided by The Wharton Financial Institutions Center
-
White Papers
Insuring Non-Veriable Losses And The Role Of Intermediaries
October 1, 2010, 12:00am PDT
The authors analyze optimal risk sharing arrangements when losses are observable by policyholders and insurers but not verifiable. The optimal contract to insure individual losses can be...
Provided by The Wharton Financial Institutions Center
-
White Papers
Scenario Analysis In The Measurement Of Operational Risk Capital: A Change Of Measure Approach
September 24, 2010, 12:00am PDT
Operational risk is now increasingly being considered an important financial risk and has been gaining importance similar to market and credit risk. In particular, in the banking regulation for...
Provided by The Wharton Financial Institutions Center
-
White Papers
Thoughts On The Future Of The Hedge Fund Industry
April 7, 2010, 12:00am PDT
Treatments of the future of hedge funds represent daunting tasks, not in the least because understanding hedge funds' past is still a subject of intense academic, industry practitioner, regulatory...
Provided by The Wharton Financial Institutions Center
-
White Papers
A Note On Scenario Analysis In The Measurement Of Operational Risk Capital: A Change Of Measure Approach
September 24, 2010, 12:00am PDT
Since the author circulated a working paper (coauthored with Kabir Dutta) entitled "Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach" on the Wharton...
Provided by The Wharton Financial Institutions Center
-
White Papers
Takeover Activity And Target Valuations: Feedback Loops In Financial Markets
May 1, 2009, 12:00am PDT
Asset prices both affect and reflect real decisions. This paper provides evidence of this two-way relationship in the takeover market. The authors find that a firm's discount to its potential...
Provided by The Wharton Financial Institutions Center
-
White Papers
Did Fair-Value Accounting Contribute To The Financial Crisis?
December 17, 2009, 12:00am PST
The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has...
Provided by The Wharton Financial Institutions Center
-
White Papers
Bank Capital, Survival, And Performance Around Financial Crises
August 1, 2009, 12:00am PDT
What does capital do for banks around financial crises? The authors address this question by examining the effect of pre-crisis bank capital ratios on banks' ability to survive financial crises,...
Provided by The Wharton Financial Institutions Center
-
White Papers
Hedge Funds As Liquidity Providers: Evidence From The Lehman Bankruptcy
August 1, 2009, 12:00am PDT
Using the September 15, 2008 bankruptcy of Lehman Brothers as an exogenous shock to funding costs, the authors show that hedge funds act as liquidity providers. Hedge funds using Lehman as prime...
Provided by The Wharton Financial Institutions Center
-
White Papers
Asset Allocation And Location Over The Life Cycle With Survival-Contingent Payouts
May 1, 2008, 12:00am PDT
This paper shows how lifelong survival-contingent payouts can enhance investor wellbeing in the context of a portfolio choice model which integrates uninsurable labor income and asymmetric...
Provided by The Wharton Financial Institutions Center
-
White Papers
Why Have Exchange-Traded Catastrophe Instruments Failed To Displace Reinsurance?
December 21, 2007, 12:00am PST
Financial markets can draw on a larger, more liquid, and more diversified pool of capital than the equity of reinsurance companies, yet they have failed to displace reinsurance as the primary...
Provided by The Wharton Financial Institutions Center
-
White Papers
Liquidity Risk And Syndicate Structure
January 31, 2008, 12:00am PST
The authors offer a new explanation of loan syndicate structure based on banks' comparative advantage in managing systematic liquidity risk. When a syndicated loan to a rated borrower has...
Provided by The Wharton Financial Institutions Center
-
White Papers
The Economic Impact Of Merger Control Legislation
December 15, 2007, 12:00am PST
Based on a unique dataset of legislative changes in industrial countries, the authors identify events that strengthen the competition control of mergers and acquisitions, analyze their impact on...
Provided by The Wharton Financial Institutions Center
-
White Papers
Optimal Mortgage Loan Diversification
November 14, 2007, 12:00am PST
Homebuyers in several countries may finance the purchase of their properties using different variants of either Adjustable-Rate Mortgages (ARMs) or Fixed-Rate Mortgages (FRMs). The variety and...
Provided by The Wharton Financial Institutions Center
-
White Papers
The Measurement Of Bank Liquidity Creation And The Effect Of Capital
September 1, 2006, 12:00am PDT
Although the modern theory of financial intermediation portrays banks as liquidity creators, comprehensive measures of bank liquidity creation do not exist. The authors construct such measures and...
Provided by The Wharton Financial Institutions Center
-
White Papers
Bank Ownership And Efficiency In China: What Will Happen In The World's Largest Nation?
June 1, 2006, 12:00am PDT
China's economy has been growing rapidly based on globalization of trade, but the country is only beginning to "Globalize" its banking sector. China's current banking reform includes partially...
Provided by The Wharton Financial Institutions Center
-
White Papers
The Effects Of Banks On "Debt-Sensitive" Small Businesses
July 1, 2006, 12:00am PDT
The authors try to identify which small businesses are most "Debt Sensitive," or most likely to be affected by banking market conditions. For the primary debt sensitivity categories, the authors...
Provided by The Wharton Financial Institutions Center
-
White Papers
Why Do Borrowers Pledge Collateral? New Empirical Evidence On The Role Of Asymmetric Information
December 4, 2006, 12:00am PST
An impressive theoretical literature motivates collateral as a mechanism that reduces equilibrium credit rationing and other problems arising from asymmetric information between borrowers and...
Provided by The Wharton Financial Institutions Center
-
White Papers
Payoff Complementarities And Financial Fragility: Evidence From Mutual Fund Outflows
May 1, 2007, 12:00am PDT
It is often argued that strategic complementarities generate financial fragility. Finding empirical evidence, however, has been a challenge. The authors derive empirical implications from a...
Provided by The Wharton Financial Institutions Center
-
White Papers
A Closer Look At Stable Value Funds Performance
September 18, 2007, 12:00am PDT
There exists a paucity of academic literature on Stable Value (SV) funds, although a growing volume of industry and practitioner literature has provided an in-depth look at how the funds are...
Provided by The Wharton Financial Institutions Center
-
White Papers
A Closer Look At Stable Value Funds Performance
September 18, 2007, 12:00am PDT
There exists a paucity of academic literature on Stable Value (SV) funds, although a growing volume of industry and practitioner literature has provided an in-depth look at how the funds are...
Provided by The Wharton Financial Institutions Center
-
White Papers
Payoff Complementarities And Financial Fragility: Evidence From Mutual Fund Outflows
May 1, 2007, 12:00am PDT
It is often argued that strategic complementarities generate financial fragility. Finding empirical evidence, however, has been a challenge. The authors derive empirical implications from a...
Provided by The Wharton Financial Institutions Center
-
White Papers
Why Do Borrowers Pledge Collateral? New Empirical Evidence On The Role Of Asymmetric Information
December 4, 2006, 12:00am PST
An impressive theoretical literature motivates collateral as a mechanism that reduces equilibrium credit rationing and other problems arising from asymmetric information between borrowers and...
Provided by The Wharton Financial Institutions Center
-
White Papers
The Effects Of Banks On "Debt-Sensitive" Small Businesses
July 1, 2006, 12:00am PDT
The authors try to identify which small businesses are most "Debt Sensitive," or most likely to be affected by banking market conditions. For the primary debt sensitivity categories, the authors...
Provided by The Wharton Financial Institutions Center
-
White Papers
Bank Ownership And Efficiency In China: What Will Happen In The World's Largest Nation?
June 1, 2006, 12:00am PDT
China's economy has been growing rapidly based on globalization of trade, but the country is only beginning to "Globalize" its banking sector. China's current banking reform includes partially...
Provided by The Wharton Financial Institutions Center
-
White Papers
The Measurement Of Bank Liquidity Creation And The Effect Of Capital
September 1, 2006, 12:00am PDT
Although the modern theory of financial intermediation portrays banks as liquidity creators, comprehensive measures of bank liquidity creation do not exist. The authors construct such measures and...
Provided by The Wharton Financial Institutions Center
-
White Papers
Optimal Mortgage Loan Diversification
November 14, 2007, 12:00am PST
Homebuyers in several countries may finance the purchase of their properties using different variants of either Adjustable-Rate Mortgages (ARMs) or Fixed-Rate Mortgages (FRMs). The variety and...
Provided by The Wharton Financial Institutions Center
-
White Papers
The Economic Impact Of Merger Control Legislation
December 15, 2007, 12:00am PST
Based on a unique dataset of legislative changes in industrial countries, the authors identify events that strengthen the competition control of mergers and acquisitions, analyze their impact on...
Provided by The Wharton Financial Institutions Center
-
White Papers
Liquidity Risk And Syndicate Structure
January 31, 2008, 12:00am PST
The authors offer a new explanation of loan syndicate structure based on banks' comparative advantage in managing systematic liquidity risk. When a syndicated loan to a rated borrower has...
Provided by The Wharton Financial Institutions Center
-
White Papers
Why Have Exchange-Traded Catastrophe Instruments Failed To Displace Reinsurance?
December 21, 2007, 12:00am PST
Financial markets can draw on a larger, more liquid, and more diversified pool of capital than the equity of reinsurance companies, yet they have failed to displace reinsurance as the primary...
Provided by The Wharton Financial Institutions Center
-
White Papers
Asset Allocation And Location Over The Life Cycle With Survival-Contingent Payouts
May 1, 2008, 12:00am PDT
This paper shows how lifelong survival-contingent payouts can enhance investor wellbeing in the context of a portfolio choice model which integrates uninsurable labor income and asymmetric...
Provided by The Wharton Financial Institutions Center
-
White Papers
Hedge Funds As Liquidity Providers: Evidence From The Lehman Bankruptcy
August 1, 2009, 12:00am PDT
Using the September 15, 2008 bankruptcy of Lehman Brothers as an exogenous shock to funding costs, the authors show that hedge funds act as liquidity providers. Hedge funds using Lehman as prime...
Provided by The Wharton Financial Institutions Center
-
White Papers
Bank Capital, Survival, And Performance Around Financial Crises
August 1, 2009, 12:00am PDT
What does capital do for banks around financial crises? The authors address this question by examining the effect of pre-crisis bank capital ratios on banks' ability to survive financial crises,...
Provided by The Wharton Financial Institutions Center
-
White Papers
Did Fair-Value Accounting Contribute To The Financial Crisis?
December 17, 2009, 12:00am PST
The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has...
Provided by The Wharton Financial Institutions Center
-
White Papers
Takeover Activity And Target Valuations: Feedback Loops In Financial Markets
May 1, 2009, 12:00am PDT
Asset prices both affect and reflect real decisions. This paper provides evidence of this two-way relationship in the takeover market. The authors find that a firm's discount to its potential...
Provided by The Wharton Financial Institutions Center
-
White Papers
A Note On Scenario Analysis In The Measurement Of Operational Risk Capital: A Change Of Measure Approach
September 24, 2010, 12:00am PDT
Since the author circulated a working paper (coauthored with Kabir Dutta) entitled "Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach" on the Wharton...
Provided by The Wharton Financial Institutions Center
-
White Papers
Thoughts On The Future Of The Hedge Fund Industry
April 7, 2010, 12:00am PDT
Treatments of the future of hedge funds represent daunting tasks, not in the least because understanding hedge funds' past is still a subject of intense academic, industry practitioner, regulatory...
Provided by The Wharton Financial Institutions Center
-
White Papers
Scenario Analysis In The Measurement Of Operational Risk Capital: A Change Of Measure Approach
September 24, 2010, 12:00am PDT
Operational risk is now increasingly being considered an important financial risk and has been gaining importance similar to market and credit risk. In particular, in the banking regulation for...
Provided by The Wharton Financial Institutions Center
-
White Papers
Insuring Non-Veriable Losses And The Role Of Intermediaries
October 1, 2010, 12:00am PDT
The authors analyze optimal risk sharing arrangements when losses are observable by policyholders and insurers but not verifiable. The optimal contract to insure individual losses can be...
Provided by The Wharton Financial Institutions Center
-
White Papers
Entrepreneurial Spawning And Firm Characteristics
January 1, 2011, 12:00am PST
The authors analyze the implications of entrepreneurial spawning for a variety of firm characteristics such as size, focus, profitability, and innovativeness. The authors examine the dynamics of...
Provided by The Wharton Financial Institutions Center
-
White Papers
Rollover Risk And Market Freezes
October 18, 2010, 12:00am PDT
The crisis of 2007-09 has been characterized by a sudden freeze in the market for short-term, secured borrowing. The authors present a model that can explain a sudden collapse in the amount that...
Provided by The Wharton Financial Institutions Center
-
White Papers
Commentary: Capital Regulation And Risk Sharing
July 16, 2010, 12:00am PDT
Minimum capital requirements are one of the three "Pillars" of macro-prudential regulation. As a result of the financial crisis of 2008-09, there have been proposals to increase the amount of...
Provided by The Wharton Financial Institutions Center
-
White Papers
Bankruptcy, Finance Constraints And The Value Of The Firm
November 10, 2010, 12:00am PST
The authors study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature and default may lead to the sale of the firms' assets at...
Provided by The Wharton Financial Institutions Center
-
White Papers
What We Know, Don't Know And Can't Know About Bank Risk: A View From The Trenches
March 23, 2008, 12:00am PDT
This paper seeks to put forward a framework, from the perspective of practitioners and policymakers, for how the known, unknown, and unknowable vary by risk type within banking. The authors define...
Provided by The Wharton Financial Institutions Center
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