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Bougheas, Spiros - CESifo - 2012

Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well documented that, at least before the 2008 crisis, many banks were keeping a high proportion of the securities that they created on their own balance-sheets. Those securities retained...

Persistent link: https://www.econbiz.de/10010555214

Bank Capital Regulation with an Opportunistic Rating Agency

Efing, Matthias - CESifo - 2013

This paper models the strategic interaction between a rating agency, a bank and a bank regulator who lacks information about bank asset risk. The regulator can either (1) make bank capital requirements contingent on credit ratings; or (2) set rating-independent capital requirements. Truthful...

Persistent link: https://www.econbiz.de/10010667420

Bank Networks: Contagion, Systemic Risk and Prudential Policy

Aldasoro, Inaki; Gatti, Domenico Delli; Faia, Ester - CESifo - 2015

entropy, closest matching and random matching. Contagion occurs through liquidity hoarding, interbank interlinkages and fire … the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower …

Persistent link: https://www.econbiz.de/10011155379

The Price of Liquidity: Bank Characteristics and Market Conditions

Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - CESifo - 2009

We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique … to gauge the extent to which a bank is short or long liquidity. We find that the price a bank pays for liquidity depends … on the liquidity positions of other banks, as well as its own. There is evidence that liquidity squeezes occasionally …

Persistent link: https://www.econbiz.de/10005051588

Creative Destruction and Productive Preemption

Norbäck, Pehr-Johan; Persson, Lars; Svensson, Roger - CESifo - 2013

We develop a theory of innovation for entry and sale into oligopoly, and show that inventions of higher quality are more likely to be sold (or licensed) to an incumbent due to strategic product market effects on the sales price. Such preemptive acquisitions by incumbents are shown to stimulate...

Persistent link: https://www.econbiz.de/10010877893

Ranking of VaR and ES Models: Performance in Developed and Emerging Markets

Zikovic, Sasa; Filer, Randall - CESifo - 2012

An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that they measure only a single realization of the underlying data generation process. The question is whether there is any significant statistical difference in the performance of...

Persistent link: https://www.econbiz.de/10010586077

Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets

Zikovic, Sasa; Filer, Randall - CESifo - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

Persistent link: https://www.econbiz.de/10008572519

Asset Pricing with Uncertain Betas: A Long-Term Perspective

Gollier, Christian - CESifo - 2013

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...

Persistent link: https://www.econbiz.de/10010877682

Risk-Taking-Neutral Background Risk

Franke, Guenter; Schlesinger, Harris; Stapleton, Richard C. - CESifo - 2013

We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a decision made with and without some exogenous background...

Persistent link: https://www.econbiz.de/10010877707

Adults' Financial Literacy and Households' Financial Assets: The Role of Banks Information Policies

Fort, Margherita; Manaresi, Francesco; Trucchi, Serena - CESifo - 2014

We investigate the role of banks information policies in fostering the accumulation of financial knowledge. In Italy, banks belonging to the PattiChiari Consortium implement policies aimed at increasing transparency and procedural simplification, without offering services at lower cost with...

Persistent link: https://www.econbiz.de/10010948806

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