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Koedijk, Kees; Kole, Erik; Verbeek, Marno - C.E.P.R. Discussion Papers - 2006

Copulas offer financial risk managers a powerful tool to model the dependence between the different elements of a … an accurate copula for risk management. We extend standard goodness-of-fit tests to copulas. Contrary to existing … is too optimistic on diversification benefits, while the Gumbel copula is too pessimistic. Moreover, these differences …

Persistent link: https://www.econbiz.de/10005792215

Inflating Away the Public Debt? An Empirical Assessment

Hilscher, Jens; Raviv, Alon; Reis, Ricardo - C.E.P.R. Discussion Papers - 2014

We propose and implement a method that provides quantitative estimates of the extent to which higher-than-expected inflation can lower the real value of outstanding government debt. Looking forward, we derive a formula for the debt burden that relies on detailed information about debt maturity...

Persistent link: https://www.econbiz.de/10011084372

A Model of Credit Risk, Optimal Policies and Asset Prices

Basak, Suleyman; Shapiro, Alex - C.E.P.R. Discussion Papers - 2002

This Paper studies the optimal policies of borrowers (firms or individuals) who may default subject to default costs, and analyses the asset pricing implications. Borrowers defaulting under adverse economic conditions may, despite incurring default costs, emerge as wealthier than non-borrowers...

Persistent link: https://www.econbiz.de/10005788927

Parallel Trade, International Exhaustion and Intellectual Property Rights: A Welfare Analysis

Szymanski, Stefan; Valletti, Tommaso - C.E.P.R. Discussion Papers - 2005

investments. …

Persistent link: https://www.econbiz.de/10005791206

Optimal Energy Investment and R&D Strategies to Stabilise Greenhouse Gas Atmospheric Concentrations

Bosetti, Valentina; Carraro, Carlo; Massetti, Emanuele; … - C.E.P.R. Discussion Papers - 2007

The stabilisation of GHG atmospheric concentrations at levels expected to prevent dangerous climate change has become an important, global, long-term objective. It is therefore crucial to identify a cost-effective way to achieve this objective. In this paper we use WITCH, a hybrid...

Persistent link: https://www.econbiz.de/10005791545

The Real Effects of the Euro: Evidence from Corporate Investments

Bris, Arturo; Koskinen, Yrjö; Nilsson, Mattias - C.E.P.R. Discussion Papers - 2004

) investments for EMU-firms have grown 2.5% more than for non-EMU firms, after 1999; and (ii) the benefits of the euro accrue …

Persistent link: https://www.econbiz.de/10005123821

The Real Effects of Investor Sentiment

Polk, Christopher; Sapienza, Paola - C.E.P.R. Discussion Papers - 2003

Does inefficiency of financial markets have real consequences? Or does it only result in transfers of wealth from noise traders to arbitrageurs? We study firm business investment to address this question. In our model, benevolent managers of overvalued companies invest in projects with negative...

Persistent link: https://www.econbiz.de/10005067581

Investments and the Holdup Problem in a Matching Market

Bester, Helmut - C.E.P.R. Discussion Papers - 2009

frictions, both parties in a match are partially locked-in when they bargain over the joint surplus from their sunk investments … case of investments in homogenous capital only the agents on the short side acquire ownership of capital. There is always …

Persistent link: https://www.econbiz.de/10005036243

The Race for Telecoms Infrastructure Investment with Bypass: Can Access Regulation Achieve the First-best?

Vareda, Bastos; Miguel, João; Hoernig, Steffen - C.E.P.R. Discussion Papers - 2007

We analyze the impact of mandatory access on the infrastructure investments of two competing communications networks …

Persistent link: https://www.econbiz.de/10005497926

Risk Management with Benchmarking

Basak, Suleyman; Shapiro, Alex; Teplá, Lucie - C.E.P.R. Discussion Papers - 2005

Portfolio theory must address the fact that, in reality, portfolio managers are evaluated relative to a benchmark, and therefore adopt risk management practices to account for the benchmark performance. We capture this risk management consideration by allowing a prespecified shortfall from a...

Persistent link: https://www.econbiz.de/10005114400