Publications des institutions partenaires
Foreign Ownership and Market Power in Banking: Evidence from a World Sample
The nexus between ownership and competition in the banking sector is a major concern to policymakers around the world but one that is rarely comprehensively examined. For 131 countries and 13 years we match bank ownership with over 50,000 bank-year estimates of individual bank market power. We find that ownership does not explain market power at the individual bank level. However, at…
Institution partenaire
English / 01/04/2016
Endogenous trading in Credit Default Swaps
We introduce a real options model in order to quantify the moral hazard impact of credit default swap (CDS) positions on the corporate default probabilities. Moral hazard is widely addressed in the insurance literature, where the insured agent may become less cautious about preventing the risk from occurring. Importantly, with CDS the moral hazard problem may be magnified since one…
Institution partenaire
English / 01/04/2016
How does international diversification influence advisor performance on cross-border M&A?
Institution partenaire
English / 01/03/2016
Game human nature. Finding ways to adapt natural tendencies and nudge collective action is central to the well-being of future generations
Institution partenaire
English / 25/02/2016
Québécoisation method for the pricing of Parisian options with jump risk
In this paper, a new technique for pricing of European and American Parisian options, that we call the québécoisation method, is developed. We study the pricing of Parisian options in a hyper-exponential jump-diffusion model using the double Laplace-Carson transform with respect to the time to maturity and the residual Parisian time (time to expiration of the Parisian window) of the…
Institution partenaire
English / 10/02/2016
Interconnectedness as a source of uncertainty in systemic risk
Financial networks have shown to be important in understanding systemic events in credit markets. In this paper, we investigate how the structure of those networks can affect the capacity of regulators to assess the level of systemic risk. We introduce a model to compute the individual and systemic probability of default in a system of banks connected in a generic network of credit…
Institution partenaire
English / 02/02/2016
Collateralization, bank loan rates, and monitoring
We show that collateral plays an important role in the design of debt contracts, the provision of credit, and the incentives of lenders to monitor borrowers. Using a unique data set from a large bank containing timely assessments of collateral values, we find that the bank responded to a legal reform that exogenously reduced collateral values by increasing interest rates, tightening…
Institution partenaire
English / 01/01/2016
Monetary transmission and regulatory impacts: empirical evidence from the post-crisis banking literature
Institution partenaire
English / 01/01/2016
Decoding Financial Networks: Hidden Dangers and Effective Policies
Two changes have ushered in a new era of analyzing the complex and interdependent world surrounding us. One is related to the increased influx of data, furnishing the raw material for this revolution that is now starting to impact economic thinking. The second change is due to a subtler reason: a paradigm shift in the analysis of complex systems.
Institution partenaire
English / 01/01/2016
Financial fragility and distress propagation in a network of regions
Building on previous works on business fluctuations, we model the propagation of financial distress in a network of regions, each populated by heterogeneous interacting firms and banks. In order to diversify risk, firm sell goods outside their own region and borrow from banks located there. However, this results in ties across regions which propagate financial distress across…
Institution partenaire
English / 01/01/2016
DebtRank and the network of leverage
The interconnectedness of the financial system is one of the main factors contributing to systemic risk. The financial crisis has shown how the network of intrafinancial exposures may, in times of systemic distress, amplify initially small shocks. In this work, the authors build on the DebtRank methodology by introducing the notion of a network of leverage and propose a two-round…
Institution partenaire
English / 01/01/2016
Complexity theory and financial regulation
Traditional economic theory could not explain, much less predict, the near collapse of the financial system and its long-lasting effects on the global economy. Since the 2008 crisis, there has been increasing interest in using ideas from complexity theory to make sense of economic and financial markets. Concepts, such as tipping points, networks, contagion, feedback, and resilience…
Institution partenaire
English / 01/01/2016
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
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
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