Publications des institutions partenaires
Bank market power and firm performance
Does market power of banks affect firm performance? To answer this question we examine 25,236 syndicated loan facilities granted between 2000 and 2010 by 296 banks to 9,029 US non-financial firms. Accounting for both observed and unobserved bank and firm heterogeneity, we find that firms that were recently poorly performing obtain loans from banks with more market power. However, in…
Institution partenaire
English / 01/03/2017
Discrete-time option pricing with stochastic liquidity
Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity that may contribute to significant bid-ask spreads. Within the framework of conic finance, we develop a stochastic liquidity model, extending the discrete-time constant liquidity model of Madan (2010). With this extension, we can replicate the term and skew…
Institution partenaire
English / 01/02/2017
Firm industry affiliation and multiple bank relationships
We explain the number of bank relationships a firm maintains by the number of industries it operates in, analyzing 13,570 listed firms in 18 Eastern European countries. We estimate a variety of stylized models including OLS, Tobit and negative binomial that directly accounts at once for the number of bank relationships. Controlling for many firm characteristics and accounting for all…
Institution partenaire
English / 01/02/2017
The Liquidity Coverage Ratio and Security Prices
What is the added value of a security which qualifies as a “high-quality liquid asset” (HQLA) under the Basel III “Liquidity Coverage Ratio” (LCR)? In this paper, we quantify the added value in terms of yield changes and, as suggested by Stein (2013), call it “HQLA premium”. To do so, we exploit the introduction of the LCR in Switzerland as a unique quasi-natural experiment and we…
Institution partenaire
English / 01/02/2017
Compressing over-the-counter markets
In this paper, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of notional obligations between the aggregate gross amount and the minimum amount required to satisfy each individual net position. Second, we…
Institution partenaire
English / 08/01/2017
Pathways towards instability in financial networks
Following the financial crisis of 2007–2008, a deep analogy between the origins of instability in financial systems and complex ecosystems has been pointed out: in both cases, topological features of network structures influence how easily distress can spread within the system. However, in financial network models, the details of how financial institutions interact typically play a…
Institution partenaire
English / 01/01/2017
Computing equilibria in dynamic stochastic macro-models with heterogeneous agents
Institution partenaire
English / 01/01/2017
An agent-based simulation of the stolper–samuelson effect
We demonstrate that agent-based simulations can exhibit results in line with classic macroeconomic theory. In particular, we present an agent-based simulation of an Arrow–Debreu economy that accurately exhibits the Stolper–Samuelson effect as an emergent property. Absent of a Walrasian auctioneer or any other central coordination, we let firm and consumer agents of different types…
Institution partenaire
English / 01/01/2017
All’s Well That Ends Well? On the Importance of how Returns are Achieved
We demonstrate that investor satisfaction and investment behavior are influenced substantially by the price path by which the final investor return is achieved. In a series of experiments, we analyze various different price paths. Investors are most satisfied if their assets first fall in value and then recover, and they are least satisfied with the opposite pattern, independent of…
Institution partenaire
English / 01/01/2017
A Simple Macroeconomic Model with Extreme Financial Frictions
We develop a simple macroeconomic model with extreme financial frictions (no credit markets) and show that poverty traps can emerge even in the absence of leverage. In our model, farmers produce fruit by renting land from landlords. Crops are exposed to aggregate shocks (weather risk). To guarantee themselves a positive consumption level even after a bad crop, farmers store fruit as…
Institution partenaire
English / 01/01/2017
Asymmetric stable Paretian distribution testing
Two new tests for the symmetric stable Paretian distribution with tail index 1 < α < 2 are proposed. The test statistics and their associated approximate p-values are instantly computed and do not require use of the stable density or distribution or maximum likelihood estimation. They exhibit high power against a variety of alternatives, and much higher power than the existing…
Institution partenaire
English / 01/01/2017
How Much Is the Gap? Efficient Jump Risk-Adjusted Valuation of Leveraged Certificates
This paper develops a novel and highly efficient numerical algorithm for the gap risk-adjusted valuation of leveraged certificates. The existing literature relies on Monte Carlo simulations, which are not fast enough to be used in a market making environment. This is because issuers need to compute thousands of price updates per second. By valuing leveraged certificates as multi-…
Institution partenaire
English / 01/01/2017
Measuring value sensitivity in medicine
Background: Value sensitivity – the ability to recognize value-related issues when they arise in practice – is an indispensable competence for medical practitioners to enter decision-making processes related to ethical questions. However, the psychological competence of value sensitivity is seldom an explicit subject in the training of medical professionals. In this contribution, we…
Institution partenaire
English / 01/01/2017
Limits of Arbitrage and Collateral Constraints
Institution partenaire
English / 01/01/2017
The Pricing of Uncertain Information: From the Lab, to Derivatives Markets, to State-contingent Sovereign Debt
Institution partenaire
English / 01/01/2017
Three Essays on Media Content and Financial Markets
Institution partenaire
English / 01/01/2017
The circular unitary ensemble and the Riemann zeta function: the microscopic landscape and a new approach to ratios
We show in this paper that after proper scalings, the characteristic polynomial of a random unitary matrix converges to a random analytic function whose zeros, which are on the real line, form a determinantal point process with sine kernel. Our scaling is performed at the so-called “microscopic” level, that is we consider the characteristic polynomial at points whose distance to $1$…
Institution partenaire
English / 01/01/2017
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