Publications

This paper considers the properties of risk measures, primarily Value–at–Risk (VaR), from both internal and external (regulatory) points of view. It...

We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric...

We develop an incomplete contract model to analyze the enlargement strategy of a club. An applicant is characterized by his wealth and the degree of...

This paper investigates whether banks’ loan supply depend on internally generated capital in a fashion that varies according to the size-structure of...

Many practitioners point out that the speculative profits of institutional traders are eroded by the difficulty in gauging the price impact of their...

We consider a model of optimal bank closure rules (cum capital replenishment by banks), with Poisson-distributed audits of the bank’s asset value by...

One distinguished feature of internal capital markets is their ability to reallocate funds in favour of the most profitable divisions (winner-picking)...

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach...

This paper presents an approximated formula of the convexity adjustment of Constant Maturity Swap rates, using Wiener Chaos expansion, for multi...

This paper presented a new technique for the simulation of the Greeks (i.e. price sensitivities to parameters), efficient for strongly discontinuous...

This paper analyses the incentives of the equityholders of a leveraged company to shut it down in a continuous time, stochastic environment. Keeping...

A large body of theoretical literature suggests that capital structure plays an important role as a managerial incentive mechanism. Cross-sectional...