73 research outputs found
Interest rate risk at U.S. commercial banks
Risk ; Interest rates ; Banks and banking ; Banks and banking - West ; Federal Reserve District, 12th
Bank holding company stock risk and the composition of bank asset portfolios
In this paper, I conduct an empirical analysis of the behavior of bank holding company stock returns with the goal of identifying the effect of portfolio composition on the risks embodied in those returns. Using a modified arbitrage pricing theory model, I test for significant balance sheet effects on both the market and nonmarket components of bank stock systematic risk. I find that several categories of bank assets are significant in explaining bank stock risk profiles. Among other things, I discuss the importance of these findings in light of the risk-based capital standards and suggest that noncredit types of risk may need to be incorporated into bank capital standards if capital levels are to reflect risk accurately.Bank holding companies ; Stocks ; Bank stocks ; Bank investments ; Risk ; Bank capital
Industry effects in the stock returns of banks and nonfinancial firms
Stock - Prices ; Risk ; Bank stocks
FIRREA and deposit insurance reform
Financial Institutions Reform, Recovery, Enforcement Act of 1989 ; Deposit insurance
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