The financial crisis and the shadow price of bank capital

DOI10.1007/S10479-018-2886-ZMaRDI QIDQ2288929zbMATH OpenOpenAlexWikidataFDO

Authors Maryam Hasannasab, Dimitris Margaritis, Christos Staikouras

Publication date 20 January 2020

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-018-2886-z

zbMATH Keywords

riskdirectional distance functionbank efficiencyshadow pricesUS banks

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• scientific article; zbMATH DE number 5295949 (Why is no real title available?)
• scientific article; zbMATH DE number 3387102 (Why is no real title available?)
• Assessing bank efficiency and performance with operational research and artificial intelligence techniques: a survey
• Benefit and distance functions
• Benefit functions and duality
• Characteristics of a polluting technology: theory and practice
• Efficiency of financial institutions: International survey and directions for future research
• Exact nonradial input, output, and productivity measurement.
• Formulation and estimation of stochastic frontier production function models
• Japanese banking inefficiency and shadow pricing
• On second-order Taylor's-series approximation and linear homogeneity
• Profit, directional distance functions, and Nerlovian efficiency

Cited in

(9)

• Hands in the cookie jar: exploiting loan loss provisions under bank financial distress
• Shadow banking and financial regulation: a small-scale DSGE perspective
• Bank capital, fire sales, and the social value of deposits
• Computing nonperforming loan prices in banking efficiency analysis
• A two-stage call-put-pricing framework for a ``bad bank solution and bank profitability
• A discussion on the robust vector autoregressive models: novel evidence from safe haven assets
• The shadow costs of repos and bank liability structure
• Japanese banking inefficiency and shadow pricing
• Bank Capital Redux: Solvency, Liquidity, and Crisis

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