The concept of risk-based capital requirements enjoys widespread support. Effective implementation, however, requires that risk be measured accurately...
We study the effects of sterilised intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transactions data...
We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and...
It is typically less profitable for an opportunistic borrower to divert inputs than to divert cash. Suppliers, therefore, may lend more liberally than...
This paper proposes new performance decomposition measures that allow us to analyse the sources of returns on the international equity holdings of a...
Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan...
Most of those who take macro and monetary policy decisions are agents. The worst penalty which can be applied to these agents is to sack them if they...
Despite being largely unconstrained in their investment decisions, we find evidence of clustering in the performance of a large cross-section of UK...
Speculative Attacks can be modeled as a coordination game with multiple equilibria if the state of the economy is common knowledge. With private...
Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and leptokurtic. Among these...
Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess...
Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The...
We study a simple rational expectations (RE) model whose asset pricing implications address some of the short-run mispricings, informational...
Despite mounting empirical evidence to the contrary, the literature on predictability of stock returns almost uniformly assumes a time-invariant...
It has been suggested (Morris, Shin 2001) that co-ordination failure be- tween bondholders could produce an effect that would explain the systematic...
We examine the relation between optimal venture capital contracts and the supply and demand for venture capital. Both the composition and type of...
