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1. Introduction Ch. 1-5
2. Tools Ch. 6-10
3. Deposit Insurance and Insurance Guaranty Fund (2 weeks)
Merton, R. C., 1977, “An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees,” Journal of Banking and Finance, 1, pp. 3-11.
Buser, S. A., A. H. Chen, and Edward J. Kane, 1981, “Federal Deposit Insurance, Regulatory Policy and Optimal Bank Capital,” Journal of Finance, 36, 1, pp. 51-60.
Ronn, E. and A. Verma, 1989 “Risk-Based Capital Adequacy Standards for a Sample of 43 Major Banks,” Journal of Banking and Finance, 13, pp. 21-29.
Duan, J. -C. and M. -T. Yu, 1994, “Forbearance and Pricing Deposit Insurance In a Multiperiod Framework,” Journal of Risk and Insurance, 61, 4, pp. 575-591.
Duan, J. C., A.F. Moreau, and C.W. Sealey, 1995 “Deposit Insurance and Bank Interest Rate Risk: Pricing and Regulatory Implications,” Journal of Banking and Finance, 19, pp. 1091-1108.
Asli D-Kunt and E. Detragiache, 2002, “Do Deposit Insurance Increase Banking Stability?,” Journal of Monetary Economics, 49, pp. 1373-1406.
Ronn, E. and A. Verma, 1986, “Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model,” Journal of Finance, 41, pp. 871-895.
Pennacchi, G., 1987, “A Reexamination of the Over- (or Under) Pricing of Deposit Insurance,” Journal of Money, Credit and Banking, 19, 3, pp. 340-360.
Pennacchi, G., 2009, “Deposit Insurance,” AEI Conference on Private Markets and Public Insurance Programs.
Duan, J. -C. and M. -T. Yu, 2005, “Fair Insurance Guaranty Premia in the Presence of Risk-Based Capital Regulations, Stochastic Interest Rate and Catastrophe Risk,” Journal of Banking and Finance, 29, 10, pp. 2435-2454.

4. Capital Requirements and Adequacy (1 weeks)
Hovakimian, A. and Edward J. Kane, 2000, “Effectiveness of Capital Regulation at U.S. Commercial Banks, 1985 to 1994,” Journal of Finance, 55, 1, pp.451-468
Kane, E. J. and M- T. Yu, 1996, “Opportunity Cost of Capital Forbearance during the Final
Years of the FSLIC Mess,” Quarterly Review of Economics and Finance, 36, 3, pp. 271-290.
Episcopos, A., 2008, “Bank capital regulation in a barrier option framework,” Journal of Banking and Finance, 32, pp. 1677-1686.
Merton, R. C., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 449-470.
Dimson, E. and P. Marsh, 1995, “Capital Requirements for Securities Firms,” Journal of Finance, 50, 3, pp.821-851
Kane, E. J. and M- T. Yu, 1995, “Measuring the True Profile of Taxpayer Losses in the S&L Insurance Mess,” Journal of Banking and Finance, 19, 8, pp. 1459-1477.
Yu, M- T., 1996, “Measuring Fair Capital Adequacy Holdings for Banks: The Case of Taiwan,” Global Finance Journal, 7, 2, pp. 239-252.

5. Basle II and III Ch. 11-16 (1 weeks)

6. Contingent Capital (1 week)
Flannery, M. J., 2009, “Stabilizing Large Financial Institutions with Contingent Capital Certificates,” working paper.
McDonald, R. L., 2010, “Contingent Capital with a Dual Price Trigger,” working paper.
Pennacchi, G., 2010, “A Structural Model of Contingent Bank Capital,” working paper.

7. Scenario Analysis and Stress Testing : Liquidity and Credit Risk (1 weeks)
Ch. 17-20.

8. Mortgage-Backed Securities, Mortgage Insurance and Reverse Mortgages (1 weeks)
Dunn, Kenneth B., and John J., McConnell, 1981, “Valuation of GNMA Mortgage-Backed Securities,” Journal of Finance, 36, 3, pp. 599-616.
Kane, Edward J. and Chester, Foster, 1986, “Valuing Conjectural Government Guarantees of FNMA Liabilities,” CBSC, pp. 347-368.
Kau, J. B., and D. C. Keenan, 1995, “An Overview of the Option-Theoretic Pricing of Mortgages,” Journal of Housing Research, 6, 2, pp. 217-244.
Kau, J. B., and D. C. Keenan, 1996, “An Option-Theoretic Model of Catastrophes Applied to Mortgage Insurance,” Journal of Risk and Insurance, 63, 4, pp. 639-656.
Kau, J. B., D. C. Keenan, and W. J. Muller, 1993, “An Option-Based Pricing Model of Private Mortgage Insurance,” Journal of Risk and Insurance, 60, 2, pp. 288-299.
Lucas and McDonald, JME, 2006.

9. Catastrophes and Risk Management of Financial Institutions (2 weeks)

Cummins, David J., 2007, “CAT Bonds and Other Risk-Linked Securities: State of the Market and Recent Developments
Lee, J. -P. and M. -T. Yu, 2002, “Pricing Default-Risky CAT Bonds with Moral Hazard and Basis Risk,” Journal of Risk and Insurance, 69, 1, pp. 25-44.
Chang, C. -W., J. S. K. Chang, and M.-T. Yu, 1996, “Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach,” Journal of Risk and Insurance, 63, 4, pp. 599-617.
Lee, J. -P. and M. -T. Yu, 2002,“Pricing Default-Risky CAT Bonds With Moral Hazard and Basis Risk,” Journal of Risk and Insurance, 69, 1, pp. 25-44.
Lee, J.-P and M. -T. Yu, 2007, “Valuation of Catastrophe Reinsurance with Catastrophe Bonds,” Insurance Mathematics and Economics, 41, 2, pp. 264-278.
Chang, C. -C., S. -K. Lin , M.-T. Yu, 2011, “Valuation of Catastrophe Equity Puts with Markov-Modulated Poisson Processes,” Journal of Risk and Insurance.

10. Mortality and Longevity Risk (1 week)
Cairns, Andrew, “Longevity Bonds and Mortality-Linked Securities.”
Cairns, Blake, Dowd, 06, “Pricing Death –Frameworks for the Valuation of..” Astin Bulletin.

11. Pension and Pension Benefit Guaranty (1 week)
Brown-Biggs, 2009, “ Reforming the Pension Benefit Guaranty Corporation, AEI.
Langetieg, T. C., M.C. Findlay and L. F. J. da Motta, 1982, “Multiperiod Pension Plans and ERISA,” Journal of Financial and Quantitative Analysis 17, 4, pp. 603-631.
Marcus, A. J., 1987, “Corporate Pensions Policy and the Value of PBGC insurance,” in Bodie, Z., J. Shoven and D. A. Wise (Eds), Issues in Pension Economics, University of Chicago Press, pp. 49-80.
Pennacchi, G. G. and C. M. Lewis, 1994, “The Value of Pension Benefit Guaranty Corporation Insurance,” Journal of Money, Credit, and Banking 26, pp. 735-756.
Pennacchi, G. G., 1999, “The Value of Guarantees on Pension Fund Returns,” Journal of Risk and Insurance 66, 2, pp. 219-237.

12. Loan Guarantee, CDS and Off-Balance Sheet Activities (1 week)
Koppenhaver and Stover, 1991, “Standby letters of credit and large bank capital: An empirical analysis,” Journal of Banking and Finance 15, 2, pp. 315-327.
Hassan, K. and V. Lai and M. Yu, 2002, “The Riskiness of Letters of Credit of Canadian Banks: A Comparison of Market-Determined Risk Measures,” Service Industries Journal, 52, 4.
Chang, C. -C., S. -L. Chung and M. -T. Yu, 2002, “Valuation and Hedging of Differential Swaps,” Journal of Futures Markets, 22, 1, pp. 73-94.
Chang, C. -C., Chung, S. -L. and M. -T. Yu, 2006, “Loan Guarantee Portfolios and Joint Loan Guarantees with Stochastic Interest Rates,” Quarterly Review of Economics and Finance, 46, 1, pp. 16-35.
Final Project Presentation (2 Weeks)