The Economics of Collateral
In this paper we study how the use of collateral is evolving under the influence of regulatory reform and changing market structure. We start with a...
Model Risk of Risk Models
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models...
Activist Funds, Leverage, and Procyclicality
We provide a theoretical framework to study blockholder activism by funds who compete for investor flow. In our model, activists are intrinsically...
The Fallibility of the Efficient Market Theory: a new paradigm
The efficient market theory has failed to explain the market behavior and asset pricing of recent years. A new model that incorporates the principal...
Ties that Bind: How business connections affect mutual fund activism
We investigate how business ties with portfolio firms influence mutual funds’ proxy voting using a comprehensive dataset spanning 2003 to 2011. In...
A resolvable bank
Making banks resolvable is a key component of the regulatory reform programme enacted in response to the crisis. A resolvable bank is one that is...
Competition and Credit Control
The Bank of England’s ‘consultative document’ on Competition and Credit Control was published on May 14th, 1971. It was a landmark occasion...
Diversification and Financial Stability
This paper contributes to a growing literature on the pitfalls of diversification by shedding light on a new mechanism under which, full risk...
Walrasian foundations for equilibria in segmented markets
Mathematics and Financial Economics, Volume 8, pages 249–264.
Value of information in competitive economies with incomplete markets
International Economic Review, 55(1), 57-81.
The ECB as Lender of Last Resort: Banks versus Governments
With the OMT program the ECB has de facto taken over the role as a lender of last resort (LoLR) for euro area governments. While this has been...
CEO Job Security and Risk-Taking
We use the length of employment contracts to estimate CEO turnover probability and its effects on risk-taking. Protection against dismissal should...
Product Market Competition and Industry Returns
This paper shows that product market competition has two opposing effects on asset returns. The first relates to the procyclical nature of the value...
Liquidity Risk and the Dynamics of Arbitrage Capital
We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in...