The impact of wealth on consumption and retirement behaviour in the UK
Housing and pension wealth are shown to be important determinants of personal sector consumption and retirement behaviour in the UK. Housing and state...
Internal Ratings, the Business Cycle and Capital Requirements: Some Evidence From an Emerging Market Economy
The concept of risk-based capital requirements enjoys widespread support. Effective implementation, however, requires that risk be measured accurately...
Consistent testing for stochastic dominance : a subsampling approach
We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and...
A transaction level study of the effects of central bank intervention on exchange rates
We study the effects of sterilised intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transactions data...
In-kind Finance
It is typically less profitable for an opportunistic borrower to divert inputs than to divert cash. Suppliers, therefore, may lend more liberally than...
Loan securitisation: default term structure and asset pricing based on loss prioritisation
Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan...
Returns from active management in international equity markets; evidence from a panel of UK pension funds
This paper proposes new performance decomposition measures that allow us to analyse the sources of returns on the international equity holdings of a...
You Might As Well Be Hung for a Sheep As a Lamb: The Loss Function of an Agent
Most of those who take macro and monetary policy decisions are agents. The worst penalty which can be applied to these agents is to sack them if they...
Performance clustering and incentives in the UK pension fund industry
Despite being largely unconstrained in their investment decisions, we find evidence of clustering in the performance of a large cross-section of UK...
Speculative attacks and financial architecture: experimental analysis of coordination games with public and private information
Speculative Attacks can be modeled as a coordination game with multiple equilibria if the state of the economy is common knowledge. With private...
Skewness and Kurtosis Implied By Option Prices: A Second Comment
Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and leptokurtic. Among these...
Financial Supervision: Which Model for Europe?
Increasing integration within the European Union (EU) gives rise to cross-border spill-over effects or externalities. The present national based...
How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks
Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess...
Money Laundering: A View from North America
John W. Moscow's (Assistant District Attorney, New York County District Attorney's Office) address to the Financial Markets Group delivered at the...
