George Pennacchi

University of Illinois

Professor of Finance

4041 BIF, Box 25

515 East Gregory Drive

Champaign, IL 61820

United States

http://https://giesbusiness.illinois.edu/profile/george-pennacchi

  • University of Illinois

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    • Tel: 217-244-0952
SCHOLARLY PAPERS

29

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155

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311

Scholarly Papers (29)

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1.

A Structural Model of Contingent Bank Capital

FRB of Cleveland Working Paper No. 10-04
Number of pages: 46 Posted: 24 Apr 2010 Last Revised: 31 Aug 2010
George Pennacchi
University of Illinois
Downloads 1,184 (21,664)
Citation 1

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2.

Contingent Capital: The Case for COERCs

Downloads 1,116 ( 23,603)
Citation 16

Contingent Capital: The Case for COERCs

INSEAD Working Paper No. 2011/133/FIN
Number of pages: 54 Posted: 04 May 2011 Last Revised: 23 Dec 2011
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 833 (35,252)
Citation 10

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Contingent Capital: The Case for COERCs

Number of pages: 49 Posted: 16 Mar 2011
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 278 (134,861)
Citation 12

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Convertible bonds, bank capital, death spiral, debt overhang

Contingent Capital: The Case for COERCs

CEPR Discussion Paper No. DP8028
Number of pages: 46 Posted: 22 Nov 2010
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 5 (772,222)
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Banks, Financial crisis, Financial stability, Security design

3.

Can a Stock Exchange Improve Corporate Behavior? Evidence from Firms' Migration to Premium Listings in Brazil

Journal of Corporate Finance, Forthcoming
Number of pages: 48 Posted: 09 Mar 2005 Last Revised: 20 May 2011
Antonio Gledson De Carvalho and George Pennacchi
Fundacao Getulio Vargas School of Business at Sao Paulo and University of Illinois
Downloads 654 (49,561)
Citation 9

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Corporate governance, premium stock exchange, Brazil

4.

Estimating Real and Nominal Term Structures Using Treasury Yields, Inflation, Inflation Forecasts, and Inflation Swap Rates

Downloads 466 ( 76,016)
Citation 12

Estimating Real and Nominal Term Structures Using Treasury Yields, Inflation, Inflation Forecasts, and Inflation Swap Rates

Number of pages: 52 Posted: 17 Mar 2009
Joseph G. Haubrich, Peter H. Ritchken and George Pennacchi
Federal Reserve Bank of Cleveland, Case Western Reserve University - Department of Banking & Finance and University of Illinois
Downloads 341 (108,231)
Citation 7

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Term Structure, Inflation-Indexed Securities

Estimating Real and Nominal Term Structures Using Treasury Yields, Inflation, Inflation Forecasts, and Inflation Swap Rates

FRB of Cleveland Working Paper No. 08-10
Number of pages: 53 Posted: 18 Apr 2012
Joseph G. Haubrich, George Pennacchi and Peter H. Ritchken
Federal Reserve Bank of Cleveland, University of Illinois and Case Western Reserve University - Department of Banking & Finance
Downloads 125 (276,842)

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Term structure of interest rates, infl ation expectations, asset pricing

5.

Corporate Taxes and Securitization

Journal of Finance, Forthcoming, KAIST College of Business Working Paper Series No. 2010-005, KDI School of Pub Policy & Management Paper No. 10-12
Number of pages: 48 Posted: 09 Aug 2010 Last Revised: 18 Mar 2021
JoongHo Han, Kwangwoo Park and George Pennacchi
SKKU Business School, College of Business, Korea Advanced Institute of Science and Technology (KAIST) and University of Illinois
Downloads 453 (78,562)
Citation 24

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Loan Sales, Securitization, Corporate Taxes

6.

Risk-Based Capital Standards, Deposit Insurance and Procyclicality

FDIC Center For Financial Research Working Paper No. 2004-05
Number of pages: 52 Posted: 01 Apr 2005
George Pennacchi
University of Illinois
Downloads 428 (84,028)
Citation 9

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Capital standards, deposit insurance, procyclical

7.

Bank Regulation, Credit Ratings, and Systematic Risk

Number of pages: 45 Posted: 14 Mar 2012
George Pennacchi and Giuliano Iannotta
University of Illinois and Università Cattolica
Downloads 325 (114,901)
Citation 9

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Bank regulation, credit ratings, systematic risk

8.

Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation

Downloads 302 (124,276)
Citation 12

Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation

AFA 2005 Philadelphia Meetings Paper, Review of Financial Studies, Forthcoming, KAIST College of Business Working Paper Series No. 2005-004, FRB of Cleveland Working Paper No. 07-04
Number of pages: 48 Posted: 16 Jan 2005 Last Revised: 18 Mar 2021
Kwangwoo Park and George Pennacchi
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and University of Illinois
Downloads 302 (123,599)
Citation 13

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Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation

The Review of Financial Studies, Vol. 22, Issue 1, pp. 1-40, 2009
Posted: 03 Jan 2009
Kwangwoo Park and George Pennacchi
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and University of Illinois

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G21, G28, G34, L11

9.

Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps

FRB of Cleveland Working Paper No. 1107
Number of pages: 58 Posted: 14 Mar 2011
Joseph G. Haubrich, George Pennacchi and Peter H. Ritchken
Federal Reserve Bank of Cleveland, University of Illinois and Case Western Reserve University - Department of Banking & Finance
Downloads 266 (141,865)
Citation 31

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Term structure of interest rates, infl ation expectations, asset pricing

10.

Contingent Capital: The Case of COERCs

Downloads 227 (165,663)
Citation 6

Contingent Capital: The Case of COERCs

AFA 2013 San Diego Meetings Paper
Number of pages: 54 Posted: 16 Mar 2012
Christian C. P. Wolff, George Pennacchi and Theo Vermaelen
University of Luxembourg - Luxembourg School of Finance, University of Illinois and INSEAD - Finance
Downloads 167 (218,832)
Citation 5

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crisis, banks, recapitalization, reverse convertible

Contingent Capital: The Case of COERCs

Number of pages: 53 Posted: 26 Jan 2012
Christian C. P. Wolff, George Pennacchi and Theo Vermaelen
University of Luxembourg - Luxembourg School of Finance, University of Illinois and INSEAD - Finance
Downloads 60 (437,812)

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11.

Banks and Loan Sales: Marketing Non-Marketable Assets

NBER Working Paper No. w3551
Number of pages: 42 Posted: 27 Apr 2000 Last Revised: 17 Mar 2021
Gary B. Gorton and George Pennacchi
Yale School of Management and University of Illinois
Downloads 204 (183,180)
Citation 29

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12.

A Reexamination of Contingent Convertibles with Stock Price Triggers

Number of pages: 46 Posted: 02 May 2016
George Pennacchi and Alexei Tchistyi
University of Illinois and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 135 (260,204)
Citation 10

Abstract:

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CoCos, equilibrium

13.

Why Do Banks Target ROE?

FRB of New York Staff Report No. 855, Journal of Financial Stability, Forthcoming
Number of pages: 40 Posted: 20 Jun 2018 Last Revised: 01 Mar 2021
George Pennacchi and João A. C. Santos
University of Illinois and Federal Reserve Bank of New York
Downloads 114 (294,513)
Citation 4

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banks, ROE, EPS

14.

Security Baskets and Index-Linked Securities

NBER Working Paper No. w3711
Number of pages: 39 Posted: 24 Aug 2010
Gary B. Gorton and George Pennacchi
Yale School of Management and University of Illinois
Downloads 71 (395,610)
Citation 10

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15.

Valuing Interest Payment Guarantees on Developing Country Debt

IMF Working Paper No. 90/18
Number of pages: 26 Posted: 15 Feb 2006
Eduardo Borensztein and George Pennacchi
Inter-American Development Bank (IADB) and University of Illinois
Downloads 70 (398,649)

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16.

Portfolio Allocation for Public Pension Funds

NBER Working Paper No. w16456
Number of pages: 51 Posted: 18 Oct 2010 Last Revised: 20 Jun 2021
George Pennacchi and Mahdi Rastad
University of Illinois and Orfalea College of Business, California State Polytechnic University
Downloads 67 (408,089)
Citation 2

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17.

On Equilibrium When Contingent Capital Has a Market Trigger: A Correction to Sundaresan and Wang Journal of Finance (2015)

Journal of Finance, Forthcoming
Number of pages: 30 Posted: 16 Jul 2018
George Pennacchi and Alexei Tchistyi
University of Illinois and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 54 (453,394)
Citation 3

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contingent convertibles

18.

Bank Deposit Rate Clustering: Theory and Empirical Evidence

FRB of Cleveland Working Paper No. 9604
Number of pages: 32 Posted: 17 Jan 2015
Charles M. Kahn, George Pennacchi and Ben J. Sopranzetti
University of Illinois, Urbana-Champaign, University of Illinois and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 51 (464,966)
Citation 6

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19.

Discounting Pension Liabilities: Funding Versus Value

NBER Working Paper No. w21276
Number of pages: 51 Posted: 15 Jun 2015 Last Revised: 19 Feb 2021
Jeffrey R. Brown and George Pennacchi
University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois
Downloads 40 (512,372)
Citation 2

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20.

Serial Correlation of Asset Returns and Optimal Portfolios for the Long and Short Term

NBER Working Paper No. w1625
Number of pages: 38 Posted: 29 Jun 2004 Last Revised: 11 Oct 2008
Stanley Fischer and George Pennacchi
Bank of Israel and University of Illinois
Downloads 34 (542,038)

Abstract:

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21.

Estimating the Cost of U.S. Indexed Bonds

FRB of Cleveland Working Paper No. 9701
Number of pages: 29 Posted: 17 Jan 2015
Silverio Foresi, Alessandro Penati and George Pennacchi
Goldman Sachs Group, Inc. - Quantitative Strategy Group, Catholic University of the Sacred Heart of Milan and University of Illinois
Downloads 27 (581,674)

Abstract:

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22.

Syndicated Loan Risk: The Effects of Covenants and Collateral

Number of pages: 51 Posted: 27 Apr 2021
Jianglin Dennis Ding and George Pennacchi
Roger Williams University - Gabelli School of Business and University of Illinois
Downloads 25 (594,482)

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syndicated loan, covenants, collateral

23.

Preemptive Tools to Mitigate Financial System Risk: Lessons from the Recent Global Financial Crisis

Financial Stability Studies, Vol. 17, No. 2, Korea Deposit Insurance Corporation(KDIC), 2016, pp. 1-18.
Number of pages: 18 Posted: 10 Aug 2017 Last Revised: 09 Jan 2019
George Pennacchi
University of Illinois
Downloads 25 (594,482)

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Deposit Insurance, Preemptive Tools, Global Financial Crisis

24.

Narrow Banking

Annual Review of Financial Economics, Vol. 4, pp. 141-159, 2012
Posted: 04 Nov 2012
George Pennacchi
University of Illinois

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25.

The Cost of Deposit Insurance for Privately Held Banks: A Market Comparable Approach

Posted: 17 Feb 2004
George Pennacchi and Michael Falkenheim
University of Illinois and Office of Management and Budget (OMB)

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Deposit insurance, market comparable valuation

26.

On Pricing Kernels and Finite State Variable Heath Jarrow Morton Models

Posted: 12 May 2000
George Pennacchi, Peter H. Ritchken and L. Sankarasubramanian
University of Illinois, Case Western Reserve University - Department of Banking & Finance and affiliation not provided to SSRN

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27.

The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures

Posted: 04 May 2000
Narasimhan Jegadeesh and George Pennacchi
Emory University - Department of Finance and University of Illinois

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28.

Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits

J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, September 1996
Posted: 13 May 1998
David E. Hutchison and George Pennacchi
University of Illinois at Urbana-Champaign - Department of Accountancy and University of Illinois

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29.

Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds

J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, March 1996
Posted: 17 Sep 1996
Stijn Claessens and George Pennacchi
Bank for International Settlements (BIS) and University of Illinois

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