Liability valuation and optimal asset allocation
Current approaches to asset-liability management employ a sequence of distinct procedures to value liabilities and determine the asset allocation...
Feedback trading
Order flow has been found to carry information to the market. When assessing how informative order flow is, the VAR methodology is typically employed...
Opening and closing the market: evidence from the London Stock Exchange
Various markets, particularly NASDAQ, have been under pressure from regulators and market participants to introduce call auctions for their opening...
A risk assessment model for banks
The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate endogenous interaction between banks...
Estimation in two classes of semiparametric diffusion models
In this paper we propose an estimation method for two classes of semiparametric scalar diffusion models driven by a Brownian motion: In the first...
Rational trader risk
Allowing for a richer information structure than usual, we show that rational traders’ calculation with short-term price fluctuations may heavily...
Credible pensions
This paper is about the problem of trust in public and private pensions. Trust is largely a problem of credibility and whether we can reasonably...
Multiple-bank lending: diversification and free-riding in monitoring
This paper analyzes banks’ choice between lending to firms individually and sharing lending with other banks, when firms and banks are subject to...
Financial Supervision in an Integrating Europe: Measuring Cross-Border Externalities
Against the backdrop of an integrating Europe, the debate on the need for European arrangements for financial supervision and stability is...
A human capital explanation for an asset allocation puzzle
We show that a life-cycle asset allocation model with liquidity constraints and realistically calibrated uninsurable labor income risk rationalizes...
General properties of rational stock-market fluctuations
Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market...
Continous time optimal stochastic growth: local martingales, transversality and existence
The present work deals with optimal planning in continuous time, infinite horizon, stochastic neo-classical one-sector models of economic growth (or...
Performance of personal pension schemes in the UK
This paper examines the performance of personal pensions (exempt unit trusts) in the UK 1980-2000. Unitised personal pension schemes are a type of...
Can the retirement-consumption puzzle be resolved?: evidence from the British Household Panel Survey
This paper uses data from the British Household Panel Survey to shed further light on the fall in spending at retirement (the "retirement-consumption...
Stopping short?: evidence on contributions to long-term savings from aggregate and micro data
With a move away from up-front charges following the introduction of stakeholder pensions, consumers are no longer penalised for lapsing on many long...
