Discussion Papers

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...

A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product...

Recent events in several countries have underscored the importance of good governance in private occupational pension plans. The present paper uses...

We study the relationship between management behaviour and the subsequent market response in the German IPO market. When applying two forms for...

Equilibrium credit rationing in the sense of Stiglitz and Weiss (1981) implies the marginal cost of funds to the borrower is infinite. So borrowers...

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature...