Publications des institutions partenaires
Tail risk, capital requirements and the internal agency problem in banks
This paper shows how to design incentive-based capital requirements that would prevent the bank from manufacturing tail risk. In the model, the senior bank manager may have incentives to engage in tail risk. Bank shareholders can prevent the manager from taking on tail risk via the optimal incentive compensation contract. To induce shareholders to implement this contract, capital…
Institution partenaire
English / 22/04/2014
Detecting informed trading activities in the options markets
We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place more in put than call options, generates easily large gains exceeding millions,is not…
Institution partenaire
English / 01/04/2014
Discussion of Presbitero, Udell and Zazzaro
The paper by Presbitero, Udell and Zazzaro (henceforth, PUZ) aims to investigate whether the financial crisis that in Italy really “hit” after Lehman Brothers in September 2008 actually led to a credit crunch there and which types of firms suffered most. PUZ start from the quarterly editions of a monthly survey of about 3,800 Italian manufacturing firms (by ISAE, now ISTAT) to…
Institution partenaire
English / 01/04/2014
Are integrative or distributive outcomes more satisfactory? The effects of interest-based versus value-based issues on negotiator satisfaction Negotiator satisfaction
Negotiation research usually distinguishes between integrative and distributive outcomes. Integrative outcomes satisfy the negotiation parties' most important interests (by trading off less important for more important issues). In contrast, distributive outcomes require negotiators to give up their most important interests (as they make concessions on both less and more…
Institution partenaire
English / 01/04/2014
Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk?
We identify the effects of monetary policy on bank risk-taking with an exhaustive credit register containing loan contracts and applications since 1984. We separate the compositional changes in the credit supply from the demand, firm and bank balance-sheet channels by accounting for both observed and unobserved time-varying firm and bank heterogeneity through time*firm and time*bank…
Institution partenaire
English / 01/03/2014
Optimal dividend policy with random interest rates
Several recent papers have studied the impact of macroeconomic shocks on the financial policies of firms. However, they only consider the case where these macroeconomic shocks affect the profitability of firms but not the financial markets conditions. We study the polar case where the profitability of firms is stationary, but interest rates and issuance costs are governed by an…
Institution partenaire
English / 01/03/2014
Rethinking the regulatory treatment of securitization
In a model where banks play an active role in monitoring borrowers, we analyze the impact of securitization on bankers’ incentives across different macroeconomic scenarios. We show that securitization can be part of the optimal financing scheme for banks, provided banks retain an equity tranche in the sold loans to maintain proper incentives. In economic downturns however…
Institution partenaire
English / 01/02/2014
Banks and bonds: the impact of bank loan announcements on bond and equity prices
We study the effect of bank loan announcements on the borrowing firms' bond and equity prices. Our sample consists of 896 loan deals signed between 1997 to 2003 involving 364 different US firms. We report the first comprehensive evidence that also firm bond prices react to bank loan announcements. Using a two-day event window, we find significant abnormal bond credit spreads…
Institution partenaire
English / 01/02/2014
Can utility optimization explain the demand for structured investment products?
In this paper, we first show that for classical rational investors with correct beliefs and constant absolute or constant relative risk aversion, the utility gains from structured products over and above a portfolio consisting of the risk-free asset and the market portfolio are typically much smaller than their fees. This result holds irrespectively of whether the investors can…
Institution partenaire
English / 30/01/2014
Sacred values: Trade-off type matters
Previous psychological investigations revealed that sacred values (SVs; the belief that certain values are nonsubstitutable and may not be traded off, in particular, against secular economic values) modulates moral decision making depending on the type of SV infringement involved. Extending this research, we compared neurofunctional correlates determined from fMRI measurements during…
Institution partenaire
English / 27/01/2014
Corporate Finance: Grundlagen von Finanzierung und Investition
Institution partenaire
Deutsch / 01/01/2014
Reinsurance or Securitization: The Case of Natural Catastrophe Risk
We investigate the suitability of securitization as an alternative to reinsurance for the purpose of transferring natural catastrophe risk. We characterize the conditions under which one or the other form of risk transfer dominates using a setting in which reinsurers and traders in financial markets produce costly information about catastrophes. Such information is useful to insurers…
Institution partenaire
English / 01/01/2014
Empirically Informed Ethics: Morality between Facts and Norms
Institution partenaire
English / 01/01/2014
Ethical Leadership - How to integrate empirical and ethical aspects for promoting moral decision making in business practice
Institution partenaire
English / 01/01/2014
Bankruptcy triggering asset value–continuous time finance approach
This paper utilizes means of game theory and option pricing to compute a bankruptcy triggering asset value. Combination of these two fields of economic study serves to separating the given problem into valuation of the payoffs, where we use option pricing and the analysis of strategic interactions between parties of a contract which could be designed and solved with the use of game…
Institution partenaire
English / 01/01/2014
Analytical option pricing under an asymmetrically displaced double gamma jump-diffusion model
We generalize the Kou (2002) double exponential jump-diusion model in two directions. First, we independently displace the two tails of the jump size distribution away from the origin. Second, we allow for each of the displaced tails to follow a gamma distribution with an integer-valued shape parameter. Both extensions introduce additional exibility in the tails of the corresponding…
Institution partenaire
English / 01/01/2014
Seiten
Le portail de l'information économique suisse
© 2016 Infonet Economy