A model to Analyse financial fragility: applications
The purpose of our work is to explore contagious financial crises. To this end, we use simplified, thus numerically solvable, versions of our general...
DP 482
Discussion Papers
Basel and procyclicality: a comparison of the standardised and IRB approaches to an improved credit risk method
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...
DP 524
Block-booking and IPO share allocation: the importance of being ignorant
Given the opportunity to buy IPO shares of uncertain value at a fixed price, potentially informed investors have an incentive to refuse to participate...
DP 480
Principal agent problems under loss aversion: an application to executive stock options
Executive stock options reward success but do not penalise failure. In contrast, the standard principal- agent model implies that pay is normally...
DP 478
Consistent testing for stochastic dominance: a subsampling approach
We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of Stochastic Dominance of arbitrary order in the...
DP 508
Are annuities value for money?: who can afford them?
This paper solves an empirically parameterized model of households’ optimal de- mand for nominal and inflation indexed annuities. The model...
DP 473
What happens when you regulate risk?: evidence from a simple equilibrium model
The implications of Value-at-Risk regulations are analyzed in a CARA-normal general equilibrium model. Financial institutions are heterogeneous in...
DP 393
Macroeconomic news, order flows and exchange rates
Under rational expectations and efficient markets, the news contained in public information announcements is directly impounded into prices with there...
DP 475
What is a Promise from the Government Worth? Measuring and Assessing the Implications of Political Risk in State and Personal Pension Schemes in the United Kingdom
There are three key types of political risk facing state and personal pension schemes: those induced by demographic, economic and pure political...
DP 457
What is a promise from the government worth?: measuring and assessing the implications of political risk in state and personal pension schemes in the United Kingdom
There are three key types of political risk facing state and personal pension schemes: those induced by demographic, economic and pure political...
DP 457
Common Factors in Conditional Distributions for Bivariate Time Series
A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product...
DP 455
Common factors in conditional distributions for Bivariate time series
A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product...
DP 455
Pension fund governance and the choice between defined benefit and defined contribution plans
Recent events in several countries have underscored the importance of good governance in private occupational pension plans. The present paper uses...
DP 454
Likelihood-based Estimation of Latent Generalised ARCH Structures
GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these...
DP 453
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis
An order flow model, where the coded identity of the counterparties of every trade is known, hence providing institution level order flow, is applied...
DP 456
Evaluation of Joint Density Forecasts of Stock and Bond Returns: Predictability and Parameter Uncertainty
One of the most important findings in empirical finance has been the fact that returns are not i.i.d. Predictability, or time variation in the...
DP 458
