"Risk Management in Banking"

October 13-15, 1996

Bank Risk, Capitalization and Inefficiency
Simon Kwan and Robert A. Eisenbeis, December 1995
This is the preprint version only. For the published version please see: "Bank Risk, Capitalization, and Operating Efficiency." Journal of Financial Services Research. Vol. 12(2/3), pp. 117-131. October 1997.

Risk and Market Segmentation in Financial Intermediaries’ Returns
Linda Allen and Julapa Jagtiani, October 1996
This is the preprint version only. For the published version please see: "Risk and Market Segmentation in Financial Intermediaries' Returns." Journal of Financial Services Research. Vol. 12 (2-3), pp. 159-73. October-December 1997.

A Market-Based Risk Classification of Financial Institutions
Alan C. Hess and Kirati Laisathit, November 1996
This is the preprint version only. For the published version please see: "A Market-Based Risk Classification of Financial Institutions." Journal of Financial Services Research. Vol. 12 (2-3), pp. 133-58. October-December 1997.

The Owner-Manager Conflict in Insured Banks: Predetermined Salary vs. Bonus Payments
Ben Z. Schreiber, October 1996
This is the preprint version only. For the published version please see: "The Owner-Manager Conflict in Insured Banks: Predetermined Salary versus Bonus Payments." Journal of Financial Services Research. Vol. 12 (2-3), pp. 303-26. October-December 1997.

Market Discipline in Conglomerate Banks: Is an Internal Allocation of Cost of Capital Necessary as an Incentive Device?
Arnoud W.A. Boot and Anjolein Schmeits, October 1996

RAROC Based Capital Budgeting and Performance Evaluation: A Case Study of Bank Capital Allocation
Christopher James, September 1996

Corporate Bond and Commercial Loan Portfolio Analysis
Edward Altman, October 1996

Banks and Credit Derivatives: Is It Always Good to Have More Risk Management Tools?
Gregory Duffee and Chungsheng Zhou, September 1996

Pricing the Risks of Default
Dilip Madan and Haluk Unal, October 1996
This is the preprint version only. For the published version please see: "Pricing the Risks of Default." Review of Derivatives Research. Vol. 2/3, pp. 121-160. 1998.

Commercial Bank Risk Management: An Analysis of the Process
Anthony M. Santomero, February 1997
This is the preprint version only. For the published version please see: "Commercial Bank Risk Management: An Analysis of the Process." Journal of Financial Services Research. Vol. 12 (2-3). p 83-115. Oct.-Dec. 1997.

Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure
Beverly J. Hirtle, November 1996
This is the preprint version only. For the published version please see: "Derivatives, Portfolio Composition, and Bank Holding Company Interest Rate Risk Exposure." Journal of Financial Services Research. Vol. 12 (2-3), pp. 243-66. October-December 1997.

The Market Value and Dynamic Interest Rate Risk of Swaps
Andrew H. Chen and Mohammed M. Chaudhury, February 1996

Interest Rate Exposure and Bank Mergers: A Preliminary Empirical Analysis
Benjamin Esty, Bhanu Narasimhan and Peter Tufano, December 1996
This is the preprint version only. For the published version please see: "Interest Rate Exposure and Bank Mergers: A Preliminary Empirical Analysis." Journal of Banking and Finance. Vol. 23, pp. 255-285. February 1999.

Stopping Information Asymmetries in Government from Promoting Risk Shifting by Banks
Edward J. Kane, October 1996

Value at Risk: Implementing a Risk Measurement Standard
Christopher Marshall and Michael Siegel, June 1996
This is the preprint version only. For the published version please see: "Value at Risk: Implementing a Risk Measurement Standard." Journal of Derivatives. pp 91-111. Spring 1997.

Evaluating Value-at-Risk Methodologies: Accuracy versus Computational Time
Matthew Pritsker, November 1996
This is the preprint version only. For the published version please see: "Evaluating Value at Risk Methodologies: Accuracy versus Computational Time." Journal of Financial Services Research. Vol. 12 (2-3), pp. 201-42. October-December 1997.

Calculating Value-at-Risk
William Fallon, January 1996

Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of JP Morgan's RiskMetrics™
Michael Phelan, August 1995
This is the preprint version only. For the published version please see: "Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of J.P. Morgan's RiskMetrics™." Journal of Financial Services Research. Vol. 12 (2-3). p 175-200. Oct.-Dec. 1997.

Stress Tests of Capital Requirements
Elroy Dimson and Paul Marsh, October 1996
This is the preprint version only. For the published version please see: "Stress Tests of Capital Requirements." Journal of Banking & Finance. Vol. 21 (11-12), pp. 1515-46. December 1997.

Regulatory Evaluation of Value-at-Risk Models
Jose A. Lopez, September 1996

Derivatives Activity at Troubled Banks
Joe Peek and Eric S. Rosengren, October 1996
This is the preprint version only. For the published version please see: "Derivatives Activity at Troubled Banks." Journal of Financial Services Research. Vol. 12 (2-3), pp. 287-302. October-December 1997.

Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks
Jongmoo Jay Choi and Elyas Elyasiani, November 1996
This is the preprint version only. For the published version please see: "Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks." Journal of Financial Services Research. Vol. 12 (2-3), pp. 267-86. October-December 1997.

European Banking with a Single Currency
Jean Dermine, August 1996
This is the preprint version only. For the published version please see: "European Banking with a Single Currency." Financial Markets, Institutions & Instruments. Vol. 5 (5), pp. 62-101. 1996.

The Exchange Rate Exposure of U.S. and Japanese Banking Institutions
Sandra L. Chamberlain, John S. Howe and Helen Popper, July 1996
This is the preprint version only. For the published version please see: "The Exchange Rate Exposure of U.S. and Japanese Banking Institutions." Journal of Banking & Finance. Vol. 21 (6), pp. 871-92. June 1997.