Research Discussion Paper – RDP 9302 A Decade of Australian Banking Risk: Evidence from Share Prices
March 1993
Contents
- Introduction
- Contingent Claim Model of a Bank
- Computing Asset Values and Asset Volatility
- Data, Assumptions and Methods
- Results
- Conclusion
- Data Appendix
- References
The views expressed herein are those of the authors and do not necessarily reflect those of the Reserve Bank of Australia or the Federal Reserve Bank of San Francisco.