Publications des institutions partenaires
The financial system as a nexus of interconnected networks
In this Chapter, we describe the phenomenology of multilevel financial networks. Network analysis represents a useful tool for the analysis of financial systems, allowing, in particular, for a better understanding of the mechanics of systemic distress. However, the level of complexity reached by the financial system, coupled with the linkages arising to and from other economic...
Institution partenaire
English / 01/01/2016
Sorry, we're closed: Loan conditions when bank branches close and firms transfer to another bank
We study loan conditions when bank branches close and firms subsequently transfer to a branch of another bank in the vicinity. Such transfer loans allow us for the first time to observe the conditions granted when banks pool-price new applicants. Consistent with recent theoretical work on hold up in bank-firm relationships we find that transfer loans do not receive the discount in...
Institution partenaire
English / 01/01/2016
Option Pricing and Market Risk Management in the Presence of Jump Risk
Institution partenaire
English / 01/01/2016
Der Widerspruch zwischen Neoliberalismus und liberaler Demokratie am Beispiel des Finanzmarktes
Institution partenaire
Deutsch / 01/01/2016
Essays on Optimal Investments in the Mitigation of Global Warming
Institution partenaire
English / 01/01/2016
Valuations of options on discretely sampled variance: A general analytic approximation
The values of options on realized variance are significantly impacted by the discrete sampling of realized variance and may be substantially higher than the values of options on continuously sampled variance (or, quadratic variation). Under arbitrary stochastic volatility dynamics, we analyze the discretization effect and obtain a simple analytical correction term to be applied to...
Institution partenaire
English / 01/01/2016
Shocks abroad, pain at home? Bank-firm level evidence on financial contagion during the recent financial crisis
We study the international transmission of shocks from the banking to the real sector during the global financial crisis. For identification, we use matched bank-firm level data, including many small and medium-sized firms, in Eastern Europe and Central Asia. We find that internationally-borrowing domestic and foreign-owned banks contract their credit more during the crisis than...
Institution partenaire
English / 01/01/2016
The bank lending channel of monetary policy: A review of the literature and an agenda for future research
Institution partenaire
English / 01/01/2016
Shedding light on dark markets: First insights from the new EU-wide OTC derivatives dataset
Institution partenaire
English / 01/01/2016
Collateral frameworks: The open secret of central banks
Central bank collateral frameworks are an often overlooked feature of monetary policy that play a key role in the monetary and financial system. Readers will discover how central banks conduct and implement monetary policy beyond merely setting interest rates, and develop their understanding as to how collateral policies may affect financial markets, financial stability, and the real...
Institution partenaire
English / 01/01/2016
The dynamics of insurance prices
We develop a continuous-time general-equilibrium model to rationalise the dynamics of insurance prices in a competitive insurance market with financial frictions. Insurance companies choose underwriting and financing policies to maximise shareholder value. The equilibrium price dynamics are explicit, which allows simple numerical simulations and generates testable implications. In...
Institution partenaire
English / 01/01/2016
A non-stationary model of dividend distribution in a stochastic interest-rate setting
In this paper the solutions to several variants of the so-called dividend-distribution problem in a multi-dimensional, diffusion setting are studied. In a nutshell, the manager of a firm must balance the retention of earnings (so as to ward off bankruptcy and earn interest) and the distribution of dividends (so as to please the shareholders). A dynamic-programming approach is used,...
Institution partenaire
English / 01/01/2016
The shadow costs of repos and bank liability structure
Making use of a structural model that allows for optimal liquidity management, we study the role that repos play in a bank׳s financing structure. In our model the bank׳s assets consist of illiquid loans and liquid reserves and are financed by a combination of repos, long-term debt, deposits and equity. Repos are a cheap source of funding, but they are subject to an exogenous rollover...
Institution partenaire
English / 01/01/2016
How time preferences differ: Evidence from 53 countries
We present results from the first large-scale international survey on time preference, conducted in 53 countries. All countries exhibit hyperbolic discounting patterns, i.e., the immediate future is discounted more than far future. We also observe higher heterogeneity for shorter time horizons, consistent with the pattern reviewed by Frederick, Loewenstein, and O’Donoghue (2002)....
Institution partenaire
English / 01/01/2016
Baseline choice and performance implications for REDD
Reducing Emissions from Deforestation and forest Degradation (REDD) projects are being designed and implemented across tropical countries, intending to curb the contribution of deforestation to greenhouse gas emissions. An important aspect of REDD implementation is the baseline against which reductions are measured. The baseline estimates the business-as-usual emissions from...
Institution partenaire
English / 01/01/2016
Unexpected shortfalls of expected Shortfall: Extreme default profiles and regulatory arbitrage
The purpose of this paper is to dispel some common misunderstandings about capital adequacy rules based on Expected Shortfall. We establish that, from a theoretical perspective, Expected Shortfall based regulation can provide a misleading assessment of tail behavior, does not necessarily protect liability holders’ interests much better than Value-at-Risk based regulation, and may...
Institution partenaire
English / 01/01/2016
Market procyclicality and systemic risk
We develop a model that captures, at the same time, the temporal dynamics of single-firm credit risk and the contagion across banks via a network of obligations and common assets. In particular, we enrich the continuous-time modelling approach of default by accounting explicitly for the procyclical loop between asset prices and leverage. Contagion can spread well before any default...
Institution partenaire
English / 01/01/2016
Evolutionary behavioural finance
The creation and protection of financial wealth is one of the most important roles of modern societies. People will commit to working hard and saving for future generations only if they can be sure that the efforts they exert every day will be rewarded by a better standard of living. This, however, can only be achieved with a well-functioning financial market. Unfortunately, a...
Institution partenaire
English / 01/01/2016
Challenges of integration complexity and evolution into economics
Institution partenaire
English / 01/01/2016
Post-crisis macrofinancial modeling: continuous time approaches
Prior to the crisis the dominant paradigm in macroeconomic modeling was the micro-founded "New-Keynesian" DSGE model (described in many textbooks including the influential exposition of Woodford (2003)). In its most basic form this combines price-stickiness with forward looking decision making by both households and firms. This provides a tractable framework for capturing...
Institution partenaire
English / 01/01/2016
Pages
Le portail de l'information économique suisse
© 2016 Infonet Economy