Equilibrium asset pricing with systemic risk
We provide an equilibrium multi-asset pricing model with micro-founded systemic risk and heterogeneous investors. Systemic risk arises due to...
Hedge funds and financial stability: explaining the debate at the financial stability forum
The regulatory story of hedge funds is a remarkable one, especially for an investment class born to remain outside any regulatory oversight.
Compensating wage differentials for defined benefit and defined contribution occupational pension scheme benefits
The theory of equalizing differences suggests that employer provided pension benefits should be compensated by reduced wage benefits for an employee’s...
The dark side of 'good' corporate governance: compliance-fuelled book-cooking activities
We argue on theoretical grounds that obligatory compliance with stricter financial reporting rules (e.g., the US Sarbanes-Oxley Act) may entail...
Consistent information multivariate density optimizing methodology
The estimation of the profit and loss distribution of a loan portfolio requires the modelling of the portfolio’s multivariate distribution. This...
Conditional probability of default methodology
This paper presents the Conditional Probability of Default (CoPoD) methodology for modelling the probabilities of loan defaults (PoDs) by small and...
Precondition for a Successful Implementation of Supervisors' Prompt Corrective Action: Is There a Case for a Banking Standard in the EU?
Over the past years, several countries around the world have adopted a system of prudential prompt corrective action (PCA). The European Union...
Rent extraction by large shareholders: evidence using dividend policy in the Czech Republic
Using cross-sectional analysis of corporate dividend policy we show that large shareholders extract rents from firms and expropriate minority...
Towards a measure of financial fragility
This paper proposes a measure of financial fragility that is based on eco- nomic welfare in a general equilbrium model calibrated against UK data. The...
Imperfect common knowledge in first generation models of currency crises
First generation models assume that the level of reserves of a Central Bank in a fixed exchange rate regime is common knowledge among consumers, and...
Comparing downside risk measures for heavy tailed distribution
Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and con- sistent ranking...
