Discussion Papers

We show that a life-cycle asset allocation model with liquidity constraints and realistically calibrated uninsurable labor income risk rationalizes...

This paper uses data from the British Household Panel Survey to shed further light on the fall in spending at retirement (the "retirement-consumption...

With a move away from up-front charges following the introduction of stakeholder pensions, consumers are no longer penalised for lapsing on many long...

The present work deals with optimal planning in continuous time, infinite horizon, stochastic neo-classical one-sector models of economic growth (or...

This paper examines the performance of personal pensions (exempt unit trusts) in the UK 1980-2000. Unitised personal pension schemes are a type of...

Despite a steady accumulation of empirical work, there has been no theoretical work attempting to shed light on the role of banks in facilitating...

We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic...

The purpose of our work is to explore contagious financial crises. To this end, we use simplified, thus numerically solvable, versions of our general...

Given the opportunity to buy IPO shares of uncertain value at a fixed price, potentially informed investors have an incentive to refuse to participate...

Our procedure here is to try to reconstruct a typical bank portfolio for a country and then, holding the presumed loan book unchanged over time, (i.e...

Executive stock options reward success but do not penalise failure. In contrast, the standard principal- agent model implies that pay is normally...

We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of Stochastic Dominance of arbitrary order in the...

This paper solves an empirically parameterized model of households’ optimal de- mand for nominal and inflation indexed annuities. The model...

The implications of Value-at-Risk regulations are analyzed in a CARA-normal general equilibrium model. Financial institutions are heterogeneous in...

Under rational expectations and efficient markets, the news contained in public information announcements is directly impounded into prices with there...

There are three key types of political risk facing state and personal pension schemes: those induced by demographic, economic and pure political...