University of Houston
Department of Finance
334 Melcher Hall
Houston, TX 77204-6021
NBER Working Papers and Publications
|January 2007||Estimating Bank Trading Risk. A Factor Model Approach|
with James M. O'Brien
in The Risks of Financial Institutions, Mark Carey and René M. Stulz, editors
|September 2005||Estimating Bank Trading Risk: A Factor Model Approach|
with James O'Brien: w11608
Risk in bank trading portfolios and its management are potentially important to the banks%u2019 soundness and to the functioning of securities and derivatives markets. In this paper, proprietary daily trading revenues of 6 large dealer banks are used to study the bank dealers%u2019 market risks using a market factor model approach. Dealers%u2019 exposures to exchange rate, interest rate, equity, and credit market factors are estimated. A factor model framework for variable exposures is presented and two modeling approaches are used: a random coefficient model and rolling factor regressions. The results indicate small average market exposures with significant but relatively moderate variation in exposures over time. Except for interest rates, there is heterogeneity in market exposures acros...
Published: Carey, Mark and Rene M. Stulz (eds.) The Risks of Financial Institutions. Chicago and London: University of Chicago Press, 2006.
|June 2002||Bankruptcy and Small Firms' Access to Credit|
with Michelle J. White: w9010
In this paper, we investigate how personal bankruptcy law affects small firms' access to credit. When a firm is unincorporated, its debts are personal liabilities of the firm's owner, so that lending to the firm is legally equivalent to lending to its owner. If the firm fails, the owner has an incentive to file for personal bankruptcy, since the firm's debts will be discharged and the owner is only obliged to use assets above an exemption level to repay creditors. The higher the exemption level, the greater is the incentive to file for bankruptcy. We show that supply of credit falls and demand for credit rises when non-corporate firms are located in states with higher bankruptcy exemptions. We test the model and find that, if small firms are located in states with unlimited rather than...
Published: Berkowitz, Jeremy and Michelle J. White. "Bankruptcy and Small Firms' Access to Credit." RAND Journal of Economics 35, 1 (Spring 2004): 69-84.
|February 1995||Dynamic Equilibrium Economies: A Framework for Comparing Models and Data|
with Francis X. Diebold, Lee E. Ohanian: t0174
Many recent theoretical papers have come under attack for modeling prices as Geometric Brownian Motion. This process can diverge over time, implying that firms facing this price process can earn infinite profits. We explore the significance of this attack and contrast investment under Geometric Brownian Motion with investment assuming mean reversion. While analytically more complex, mean reversion in many cases is a more plausible assumption, allowing for supply responses to increasing prices. We show a mean reversion process rather than Geometric Brownian Motion and provide an explanation for this result.
Published: Review of Economic Studies, Vol. 65 (1998): 433-452.