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Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine

This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several … analysis extends the models in Bellalah (1999, 2001) for the valuation of real options within information uncertainty. We … present valuation models and simulations for the values of common real options in the presence of shadow costs of incomplete …

Persistent link: https://www.econbiz.de/10008532470

Mark-to-market accounting and systemic risk: evidence from the insurance industry

Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, … - London School of Economics (LSE) - 2013

in greater degrees of regulatory arbitrage before the crisis and limited loss recognition during the crisis, and (c …

Persistent link: https://www.econbiz.de/10011171756

A time series analysis of financial fragility in the UK banking system

Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004

This paper extends the model proposed by Goodhart, Sunirand, and Tsomocos (2003, 2004a, b) to an infinite horizon setting. Thus, we are able to assess how the model conforms with the time series data of the U.K. banking system. We conclude that, since the model performs satisfactorily, it can be...

Persistent link: https://www.econbiz.de/10010744867

A risk assessment model for banks

Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its interaction with other banks and other private...

Persistent link: https://www.econbiz.de/10010745460

Simulated nonparametric estimation of dynamic models with applications to finance

Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005

This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...

Persistent link: https://www.econbiz.de/10010745257

Equilibrium asset pricing with systemic risk

Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2006

We provide an equilibrium multi-asset pricing model with micro-founded systemic risk and heterogeneous investors. Systemic risk arises due to excessive leverage and risk taking induced by free-riding externalities. Global risk-sensitive financial regulations are introduced with a view of...

Persistent link: https://www.econbiz.de/10010746199

Equilibrium asset pricing with systemic risk

Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2008

We provide an equilibrium multi-asset pricing model with micro- founded systemic risk and heterogeneous investors. Systemic risk arises due to excessive leverage and risk taking induced by free-riding externalities. Global risk-sensitive financial regulations are introduced with a view of...

Persistent link: https://www.econbiz.de/10011126632