On Physics and Finance
This paper gives a short introduction of the academic field of financial asset pricing and relates some recent as well as historical developments in...
Financing Constraints and Inventories
This paper puts forward the existence of financing constraints as a possible explanation for two main empirical regularities about inventories; that...
Trade Credit: Suppliers as Debt Collectors and Insurance Providers
There are two fundamental puzzles about trade credit: why does it appear to be so expensive, and why do input suppliers engage in the business of...
An Auto-regressive Conditional Binomial Option Pricing Model
This paper offers an option pricing framework grounded in econometric microstructure modelling. We consider a model where stock price dynamics follow...
Liquidity and Credit Risk
We develop a simple binomial model of liquidity and credit risk in which a bondholder has the option to time the sale of his security, given a...
Public Information, Private Information and the Multiplicity of Equilibria in Co-ordination Games
I study an example of a coordination game, and examine the robustness of equilibrium predictions with respect to changes in the information structure...
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities
Markov switching models with time-varying means, variances and mixing weights are applied to characterize business cycle variation in the probability...
The Organisational Structure of Banking Supervision
In this paper I try to address the question of whether, and why, it matters whether banking supervision is undertaken in-house in the Central Bank or...
The Emperor has no Clothes: Limits to Risk Modelling
This paper considers the properties of risk measures, primarily Value–at–Risk (VaR), from both internal and external (regulatory) points of view. It...
The shape of the risk premium: evidence from a semiparametric GARCH model
We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric...
Club Enlargement: Early Versus Late Admittance
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...
External Financing Costs and Banks' Loan Supply: Does the Structure of the Bank Sector Matter
This paper investigates whether banks’ loan supply depend on internally generated capital in a fashion that varies according to the size-structure of...
Strategic Trading and Learning About Liquidity
Many practitioners point out that the speculative profits of institutional traders are eroded by the difficulty in gauging the price impact of their...
Bank Capital Regulation With Random Audits
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...