1996 Working Paper Series

#96-02-C
Computing Performance Measures in a Multi-Class Multi-Resource Processor-Shared Loss System
O. Zeynep Aksin and Patrick T. Harker, October 1998

#96-03
The Effects of Megamergers on Efficiency and Prices: Evidence from a Bank Profit Function
Jalal D. Akhavein, Allen N. Berger and David B. Humphrey, January 1996
This is the preprint version only. For the published version please see: "The Effects of Megamergers on Efficiency and Prices: Evidence from a Bank Profit Function." Review of Industrial Organization. Vol. 12 (1), pp. 95-139. February 1997.

#96-04
Process Design and Efficiency: Evidence from Retail Banking
Frances X. Frei and Patrick T. Harker, January 1996

#96-05
Hedging and Coordinated Risk Management: Evidence from Thrift Conversions
Catherine M. Schrand and Haluk Unal, December 1995
This is the preprint version only. For the published version please see: "Hedging and Coordinated Risk Management: Evidence from Thrift Conversions." Journal of Finance. Vol. 53 (3), pp. 979-1013. June 1998.

#96-06-C
#96-06-C Part 1
#96-06-C Part 2
#96-06-C Part 3
#96-06-C Part 4
The Transformation of the U.S. Banking Industry: What a Long, Strange Trip It's Been
Allen N. Berger, Anil K. Kashyap and Joseph Scalise, November 1995
This is the preprint version only. For the published version please see: "The Transformation of the U.S. Banking Industry: What a Long, Strange Trip It's Been." Brookings Papers on Economic Activity. Vol. 0 (2), pp. 55-201. 1995.

#96-07-B
To Sell or Not To Sell: Determining the Tradeoffs between Service and Sales in Retail Banking Phone Centers
O. Zeynep Aksin and Patrick T. Harker, May 1998

#96-08
Alternative Monies and the Demand for Media of Exchange
Anthony M. Santomero and John J. Seater, December 1995
This is the preprint version only. For the published version please see: "Alternative Monies and the Demand for Media of Exchange." Journal of Money, Credit & Banking. Vol. 28 (4), pp. 942-60. Part 2. November 1996.

#96-09
Financial Pricing of Insurance in the Multiple Line Insurance Company
Richard D. Phillips, J. David Cummins and Franklin Allen, March 1996
This is the preprint version only. For the published version please see: "Financial Pricing of Insurance in the Multiple Line Insurance Company." Journal of Risk and Insurance. Vol. 65, pp. 597-636. 1998.

#96-10
Productivity and Technical Efficiency in the Italian Insurance Industry
J. David Cummins and Giuseppe Turchetti, March 1996

#96-11
Universal Banking and the Performance of German Firms
Gary Gorton and Frank A. Schmid, January 1996
A related paper, "Banks and Corporate Finance in German," appeared in The New Tool Set, Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 1995.

#96-12
Catastrophe Insurance, Capital Markets and Uninsurable Risks
Dwight M. Jaffee and Thomas Russell, May 1996
This is the preprint version only. For the published version please see: "Catastrophe Insurance, Capital Markets, and Uninsurable Risks." Journal of Risk & Insurance. Vol. 64 (2), pp. 205-30. June 1997.

#96-13
Risk-Taking Behavior with Limited Liability and Risk Aversion
Christian Gollier, Pierre-François Koehl and Jean-CharlesRochet, May 1996
This is the preprint version only. For the published version please see: "Risk-Taking Behavior with Limited Liability and Risk Aversion." Journal of Risk & Insurance. Vol. 64 (2), pp. 347-70. June 1997.

#96-14
An Investigation of the Performance of the U.S. Property-Casualty Insurance Industry
Thomas A. Pugel, Anthony Saunders and N.K. Chidambaran, May 1996
This is the preprint version only. For the published version please see: "An Investigation of the Performance of the U.S. Property-Liability Insurance Industry." Journal of Risk & Insurance. Vol. 64 (2), pp. 371-81. June 1997.

#96-15
The Role of Monitoring in Reducing the Moral Hazard Problem Associated with Government Guarantees: Evidence from the Life Insurance Industry
Elijah Brewer III, Thomas H. Mondschean and Philip Strahan, May 1996
This is the preprint version only. For the published version please see: "The Role of Monitoring in Reducing the Moral Hazard Problem Associated with Government Guarantees: Evidence from the Life Insurance Industry." Journal of Risk & Insurance. Vol. 64 (2), pp. 301-22. June 1997.

#96-16-B
Risk Management by Insurers: An Analysis of the Process
David F. Babbel and Anthony M. Santomero, February 1997
This is the preprint version only. For the published version please see: "Financial Risk Management by Insurers: An Analysis of the Process." Journal of Risk & Insurance. Vol. 64 (2), pp. 231-70. June 1997.

#96-17
Actuarial versus Financial Pricing of Insurance
Paul Embrechts, May 1996

#96-18
Empirical Tests of Models of Catastrophe Insurance Futures
Knut Aase and Bernt-Arne Ødegaard, May 1996

#96-19
Intertemporal Insurance
Bryan Ellickson and José Penalva-Zuasti, May 1996
This is the preprint version only. For the published version please see: "Intertemporal Insurance." Journal of Risk & Insurance. Vol. 64 (4), pp. 579-98. December 1997.

#96-20
Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products
Knut Aase and Svein-Arne Persson, May 1996
This is the preprint version only. For the published version please see: "Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products." Journal of Risk & Insurance. Vol. 64 (4), pp. 599-617. December 1997.

#96-21
The Effect of Risk-Based Capital on Life Insurers' Investment Portfolios
Kathy Petroni and Douglas Shackelford, May 1996

#96-22
Controlling Information Premia by Repackaging Asset-Backed Securities
Alexander David, May 1997
This is the preprint version only. For the published version please see: "Controlling Information Premia by Repackaging Asset-Backed Securities." Journal of Risk & Insurance. Vol. 64 (4), pp. 619-48. December 1997.

# 96-23
The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps
Søren S. Nielsen and Ehud I. Ronn, May 1996

#96-24
Risks in Derivatives Markets
Ludger Hentschel and Clifford W. Smith, Jr., May 1996
This is the preprint version only. For the published version please see: "Risks in Derivatives Markets: Implications for the Insurance Industry." Journal of Risk & Insurance. Vol. 64 (2), pp. 323-45. June 1997.

#96-25
An Integrated Approach to Hedging and Pricing Eurodollar Derivatives
Robert Jarrow and Stuart Turnbull, May 1996
This is the preprint version only. For the published version please see: "An Integrated Approach to the Hedging and Pricing of Eurodollar Derivatives." Journal of Risk & Insurance. Vol. 64 (2), pp. 271-99. June 1997.

#96-26-B
Corporate Hedging in the Insurance Industry: The Use of Financial Derivatives by U.S. Insurers
J. David Cummins, Richard Phillips and Stephen D. Smith, September 1996
This is the preprint version only. For the published version please see: "Corporate Hedging in the Insurance Industry: The Use of Financial Derivatives by U.S. Insurers." The North American Actuarial Journal. Vol I, pp. 13-49. January 1997.

#96-27
How Are Derivatives Used? Evidence from the Mutual Fund Industry
Jennifer Koski and Jeffrey Pontiff, May 1996
This is the preprint version only. For the published version please see: "How Are Derivatives Used? Evidence from the Mutual Fund Industry." Journal of Finance. Vol. 54(2), pp. 791-816. April 1999.

#96-28
Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach
Kenneth A. Froot and Jeremy C. Stein, May 1996
This is the preprint version only. For the published version please see: "Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach." Journal of Financial Economics. Vol. 47. January 1998.

#96-29
On the Risk of Life Insurance Liabilities: Debunking Some Common Pitfalls
Eric Briys and François de Varenne, May 1996
This is the preprint version only. For the published version please see: "On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls." Journal of Risk & Insurance. Vol. 64 (4) pp. 673-94. December 1997.

#96-30
Hedging the Tax Liability of a Property-Liability Insurance Company
Richard Derrig and Krzysztof Ostaszewski, May 1996
This is the preprint version only. For the published version please see: "The Fuzzy Problem of Hedging the Tax Liability of a Property-Liability Insurance Company." Proceedings of the 5th AFIR International Colloquium. (Brussels). pp. 17-42. September 1995.

#96-31-B
Measuring the Efficiency of Service Delivery Processes: With Application to Retail Banking
Frances X. Frei and Patrick Harker, October 1996
Forthcoming, Journal of Service Research.

#96-32
The Theory of Financial Intermediation
Franklin Allen and Anthony M. Santomero, August 1996
This is the preprint version only. For the published version please see: "The Theory of Financial Intermediation." Journal of Banking & Finance. Vol. 21 (11-12), pp. 1461-85. December 1997.

#96-33
Financial Markets, Intermediaries and Intertemporal Smoothing
Franklin Allen and Douglas Gale, September 1996
This is the preprint version only. For the published version please see: "Financial Markets, Intermediaries, and Intertemporal Smoothing." Journal of Political Economy. Vol. 105 (3), pp. 523-46. June 1997.

#96-34
The Regulatory and Public Policy Agenda for Effective Intermediation in Post Socialist Economies
Anthony M. Santomero, October 1996
This is the preprint version only. For the published version please see: "The Regulatory and Public Policy Agenda for Effective Intermediation in Post Soviet Economies." In Financial Sector Reform and Privatization In Transition Economies (7). J. Doukas, V. Murinde and C. Wihlborg, Eds, Elsevier Science Publishers B.V., pp. 153-175. 1998.

#96-35
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.

#96-36
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.

#96-37
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.

#96-38
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.

#96-39
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

#96-40
RAROC Based Capital Budgeting and Performance Evaluation: A Case Study of Bank Capital Allocation
Christopher James, September 1996

#96-41
Corporate Bond and Commercial Loan Portfolio Analysis
Edward Altman, October 1996

#96-42
Banks and Credit Derivatives: Is It Always Good to Have More Risk Management Tools?
Gregory Duffee and Chungsheng Zhou, September 1996

#96-43
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.

#96-44
The Market Value and Dynamic Interest Rate Risk of Swaps
Andrew H. Chen and Mohammed M. Chaudhury, February 1996

#96-45
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.

#96-46
Stopping Information Asymmetries in Government from Promoting Risk Shifting by Banks
Edward J. Kane, October 1996

#96-47
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.

#96-48
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.

#96-49
Calculating Value-at-Risk
William Fallon, January 1996

#96-50
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.

#96-51
Regulatory Evaluation of Value-at-Risk Models
Jose A. Lopez, September 1996

#96-52
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.

#96-53
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.

#96-54
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.

#96-55
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.

#96-56
The Future of the Japanese Financial System
Franklin Allen, August 1996
This is the preprint version only. For the published version, in Japanese, please see:Gendai Finance, Vol. 2. pp. 3-22. 1997.