When only the best will do: best practices in capital allocation
The risk-adjusted performance measure (RAPM) serves as one of the best approaches used to allocate capital. The measure, which is based on value-at-risk methodology, creates a consistent assessment tool that evaluates and compares risk-adjusted returns among asset classes or lines of business. When used in conjunction with stress testing and sensitivity analysis, a RAPM approach offers firms a more precise assessment of the risks they confront and identifies the likelihood such risks will take place.
Publication Name: Secondary Mortgage Markets
Economies of diversification in the banking industry: a frontier approach
The report calculates economies of diversification by analysing the cost effect of banking expansions by using a frontier cost approach. The research was based on parametric techniques for measuring economies of scope. Nonparametric techniques separated the effects of product inefficiency, scale effects and product mix effects. Results show that increased competition would result in improved efficiency in the banking sector.
Publication Name: Journal of Monetary Economics
- Abstracts: The effect of tax-favored retirement accounts on capital accumulation. Market share dynamics and the "persistence of leadership" debate
- Abstracts: On the role of seasonal intercepts in seasonal cointegration. Cointegration testing under structural breaks: a robust extended error correction model
- Abstracts: The comparative performance of the public enterprise sector in Turkey: a Malmquist productivity index approach
- Abstracts: The optimal inflation tax when money reduces transactions costs: a reconsideration. Real-time gross settlement and the costs of immediacy
- Abstracts: A comment on durable goods consumption. An aggregate model of firm specific capital with and without commitment