Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord

Discrete Dynamics in Nature and Society

Volumn 2008, Issue , 2008, Pages

  Fouche, Hennie H ^a   Mukuddem Petersen, Janine ^b   Petersen, Mark A ^b   Senosi, M C ^b  

^a Large Business   (South Africa)

^b NORTH WEST UNIVERSITY   (South Africa)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 65649125290     PISSN: 10260226     EISSN: 1607887X     Source Type: Journal    
DOI: 10.1155/2008/740845     Document Type: Article

References (64)

1. Basel Committee on Banking Supervision, "The New Basel Capital Accord," Bank for International Settlements, May 2001, http://www.bis.org/publ/bcbsca.htm.
2. Basel Committee on Banking Supervision, "International Convergence of Capital Measurement and Capital Standards: A Revised Framework," Bank for International Settlements, June 2006, http://www.bis.org/publ/ bcbs107.pdf.
3. J. Mukuddem-Petersen, M. A. Petersen, I. M. Schoeman, and B. A. Tau, "Maximizing banking profit on a random time interval," Journal of Applied Mathematics, vol. 2007, Article ID 29343, 22 pages, 2007.
4. J. Mukuddem-Petersen, M. A. Petersen, I. M. Schoeman, and B. A. Tau, "Dynamic modelling of bank profits," Applied Financial Economics Letters, vol. 4, no. 3, pp. 157-161, 2008.
5. J. R. M. Hand and B. Lev, Intangible Assets: Values, Measures and Risks, Oxford University Press, Oxford, UK, 2003.
6. G. J. Whitwell, B. A. Lukas, and P. Hill, "Stock analysts' assessments of the shareholder value of intangible assets," Journal of Business Research, vol. 60, no. 1, pp. 84-90, 2006.
7. R. Chami and T. F. Cosimano, "Monetary policy with a touch of Basel," Working Paper no. WP/01/151, International Monetary Fund, October 2001.
8. D. Ruthenberg and Y. Landskroner, "Loan pricing under Basel II in an imperfectly competitive banking market," Journal of Banking & Finance, vol. 32, no. 12, pp. 2725-2733, 2008.
9. R. Repullo and J. Suarez, "Loan pricing under Basel capital requirements," Journal of Financial Intermediation, vol. 13, no. 4, pp. 496-521, 2004.
10. S. Djankov, J. Jindra, and L. F. Klapper, "Corporate valuation and the resolution of bank insolvency in East Asia," Journal of Banking and Finance, vol. 29, no. 8-9, pp. 2095-2118, 2005.
11. G. S. Fissel, L. Goldberg, and G. A. Hanweck, "Bank portfolio exposure to emerging markets and its effects on bank market value," Journal of Banking & Finance, vol. 30, no. 4, pp. 1103-1126, 2006.
12. T. J. Coyne, "Commercial bank profitability by function," Financial Management, vol. 2, no. 1, pp. 64- 73, 1973.
13. A. Demirgüc-Kunt and H. Huizinga, "Determinants of commercial bank interest margins and profitability: Some international evidence," Working Paper no. WPS 1900, The World Bank Policy Research, November 1999.
14. G. M. Halkos and M. N. Georgiou, "Bank sales, spread and profitability: An empirical analysis," Applied Financial Economic Letters, vol. 1, no. 5, pp. 293-296, 2005.
15. F. Modigliani and M. Miller, "The cost of capital, corporation finance and the theory of investment," American Economic Review, vol. 48, no. 3, pp. 261-297, 1958.
16. A. N. Berger, R. J. Herring, and G. Szegö, "The role of capital in financial institutions," Journal of Banking and Finance, vol. 19, no. 3-4, pp. 393-430, 1995.
17. D. W. Diamond and R. G. Rajan, "A theory of bank capital," The Journal of Finance, vol. 55, no. 6, pp. 2431-2465, 2000.
18. H. Leland, "Risky debt, bond covenants and optimal capital structure," The Journal of Finance, vol. 49, no. 4, pp. 1213-1252, 1994.
19. T. Dangl and J. Zechner, "Credit risk and dynamic capital structure choice," Journal of Financial Intermediation, vol. 13, no. 2, pp. 183-204, 2004.
20. J.-P. Decamps, J.-C. Rochet, and B. Roger, "The three pillars of Basel II: Optimizing the mix," Journal of Financial Intermediation, vol. 13, no. 2, pp. 132-155, 2004.
21. J. Mukuddem-Petersen and M. A. Petersen, "Stochastic behaviour of risk-weighted bank assets under the Basel II capital accord," Applied Financial Economics Letters, vol. 1, no. 3, pp. 133-138, 2005.
22. R. Repullo, "Capital requirements, market power, and risk-taking in banking," Journal of Financial Intermediation, vol. 13, no. 2, pp. 156-182, 2004.
23. J. C. Rochet, "Rebalancing the three pillars of Basel II," Economic Policy Review, vol. 10, no. 2, pp. 7-25, 2004.
24. D. Hancock, A. J. Laing, and J. A. Wilcox, "Bank capital shocks: dynamic effects and securities, loans and capital," Journal of Banking & Finance, vol. 19, no. 3-4, pp. 132-155, 1995.
25. A. V. Thakor, "Capital requirements, monetary policy, and aggregate bank lending: Theory and empirical evidence," The Journal of Finance, vol. 51, no. 1, pp. 279-324, 1996.
26. S. Altug and P. Labadie, Dynamic Choice and Asset Markets, San Diego, Calif, USA, Academic Press, 1994.
27. R. Bliss and G. Kaufman, "Bank procyclicality, credit crunches and asymmetric monetary policy effects: A unifying model,"Working Paper no. WP-02-18, Federal Reserve Bank of Chicago, November 2002.
28. E. Catarineu-Rabell, P. Jackson, andD. P. Tsomocos, "Procyclicality and the new BaselAccord - Bank's choice of loan rating system,"Working Paper no. 181, Bank of England, August 2003.
29. N.-K. Chen, "Bank net worth, asset prices and economic activity," Journal of Monetary Economics, vol. 48, no. 2, pp. 415-436, 2001.
30. D. Tsomocos, "Equilibrium analysis, banking, contagion and financial fragility," Working Paper no. 175, Bank of England, 2003.
31. S. van den Henvel, "Does bank capital matter for monetary transmission?" Economic Policy Review, vol. 8, no. 1, pp. 259-265, 2002.
32. D. Hackbarth, J. Miao, and E. Morellec, "Capital structure, credit risk, and macroeconomic conditions," Journal of Financial Economics, vol. 82, no. 3, pp. 519-550, 2006.
33. A. Anandarajan, I. Hasan, and A. Lozano-Vivas, "Loan loss provision decisions: An empirical analysis of the Spanish depository institutions," Journal of International Accounting, Auditing and Taxation, vol. 14, no. 1, pp. 55-77, 2005.
34. J. A. Bikker and P. A. J. Metzemakers, "Bank provisioning behaviour and procyclicality," Journal of International Financial Markets, Institutions and Money, vol. 15, no. 2, pp. 141-157, 2005.
35. C. Borio, C. Furfine, and P. Lowe, "Procyclicality of the financial system and financial stability: Issues and policy options," Working Paper, Bank for International Settlements, April 2001, http://www.bis.org/publ/bppdf/bispap01a.pdf.
36. M. Cavallo and G. Majnoni, "Do banks provision for bad loans in good times ? Empirical evidence and policy implications," in Ratings, Rating Agencies and the Global Financial System, R. Levich, G. Majnoni, and C. Reinhart, Eds., Kluwer Academic Publishers, Boston, Mass, USA, 2002.
37. Y. S. Demyanyk and O. Van Hemert, "Understanding the subprime mortgage crisis," August 2008, http://papers.ssrn.com/sol3/ papers.cfm?abstract id020396.
38. J. Mukuddem-Petersen and M. A. Petersen, "Bank management via stochastic optimal control," Automatica, vol. 42, no. 8, pp. 1395-1406, 2006.
39. L. Pelizzon and S. Schaefer, "Pillar 1 vs Pillar 2 under risk management," in NBER Conference on Risks of Financial Institutions, M. Carey and R. Stulz, Eds., Berlin, Germany, October 2005.
40. S. Basak and A. Shapiro, "Value-at-risk-based risk management: optimal policies and asset prices," The Review of Financial Studies, vol. 14, no. 2, pp. 371-405, 2001.
41. D. Cuoco and H. Liu, "An analysis of VaR-based capital requirements," Journal of Financial Intermediation, vol. 15, no. 3, pp. 362-394, 2006.
42. M. Leippold, F. Trojani, and P. Vanini, "Equilibrium impact of value-at-risk regulation," Swiss Banking Institute, University of Zurich, July 2003.
43. J. Mukuddem-Petersen and M. A. Petersen, "Optimizing asset and capital adequacy management in banking," Journal of Optimization Theory and Applications, vol. 137, no. 1, pp. 205-230, 2008.
44. D. W. Diamond, "Banks and liquidity creation: A simple exposition of the Diamond-Dybvig model," Economic Quarterly, vol. 93, no. 2, pp. 189-200, 2007.
45. D. W. Diamond and P. H. Dybvig, "Bank runs, deposit insurance and liquidity," Journal of Political Economy, vol. 91, no. 3, pp. 401-419, 1983.
46. FDIC, "Quarterly Banking Profile (Pre-Adjustment)," Fourth Quarter, vol. 29, no. 1, 2008.
47. FDIC, "Quarterly Banking Profile," First Quarter, vol. 29, no. 2, 2008.
48. G. J. Alexander and A. M. Baptista, "Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach," Journal ofMonetary Economics, vol. 53, no. 7, pp. 1631-1660, 2006.
49. L. Laeven and G. Majnoni, "Loan loss provisioning and economic slowdowns: Too much, too late?" Journal of Financial Intermediation, vol. 12, no. 2, pp. 178-197, 2003.
50. Organization for Economic Co-Operation and Development (OECD), "Main Economic Indicators," November 2008.
51. Wikipedia: The Free Encyclopedia, "Subprime Mortgage Crisis," November 2008, http://en.wikipedia.org/wiki/Subprime mortgage crisis.
52. "PBS. Episode 06292007," Bill Moyers Journal, June 2007, http://www.pbs.org/moyers/journal/06292007/transcript5.html.
53. J. Lahart, "Egg cracks differ in housing, finance shells," The Wall Street Journal, December 2007, http://online.wsj.com/article/ SB119845906460548071.html.
54. Realtytrac Staff, "US foreclosure activity increases 75 percent in 2007," May 2008, http://www.realtytrac.com/ContentManagement/ pressrelease.aspx.
55. J. Fineman and B. Keoun, "Merrill Lynch posts fourth straight quarterly loss (Update 2)," July 2008, http://www.bloomberg.com/ apps/news.
56. Y. Onaran, "Subprime losses top $ 379 billion on balance-sheet marks: Table," May 2008, http://www.bloomberg.com/ apps/news.
57. S. Matthews and S. Lanman, "Bernanke urges 'hunkering' banks to raise capital (Update 4)," May 2008, http://www.bloomberg.com/apps/ news.
58. J. Aversa, "Rebate checks in the mail by spring," The Huffington Post, Arianna Huffington, February 2008, http://www.huffingtonpost.com/2008/02/13/ rebate-checks-in-the-mail n 86525.html.
59. US Federal Reserve, "FRB: Press Release - FOMC statement," January 2008, http://www.federalreserve.gov/newsevents/press/monetary/ 20080122b.htm.
60. "Full speed ahead," The Economist, January 2008, http://www.economist.com/world/unitedstates/ displaystory.cfm?storyid10589983.
61. D. M. Kinchen, "REALTORS: Commercial real estate pinched by Wall Street Woes," September 2008, http://www.huntingtonnews.net/columns/ 080919-kinchen-columnsrealtors.html.
62. T. Bosch, J. Mukuddem-Petersen, M. A. Petersen, and I. Schoeman, "Optimal auditing in the banking industry," Optimal Control Applications & Methods, vol. 29, no. 2, pp. 127-158, 2008.
63. P. E. Protter, Stochastic Integration and Differential Equations, vol. 21 of Applications of Mathematics, Springer, Berlin, Germany, 2nd edition, 2004.
64. C. H. Fouche, J. Mukuddem-Petersen, and M. A. Petersen, "Continuous-time stochastic modelling of capital adequacy ratios for banks," Applied StochasticModels in Business and Industry, vol. 22, no. 1, pp. 41-71, 2006.