Showing 1 - 8 of 8
We study an equilibrium model with restricted investor participation in which strategic arbitrageurs reap profits by exploiting mispricings across different trading locations. We edogonize the asset structure as the outcome of the security design game played by the arbitrageurs. The equilibrium...
Persistent link: https://www.econbiz.de/10010745660
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
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 … data and therefore can be implemented as a risk assessment tool for financial regulators and central banks. We address the …
Persistent link: https://www.econbiz.de/10010745460
Persistent link: https://www.econbiz.de/10010746282
assumptions. We accomplish this by relying on the plausible joint frictions of immediacy risk (excution risk) and asset …
Persistent link: https://www.econbiz.de/10010746573
Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce … similar and consistent ranking of heavy tailed risk. Thus regardless of the particular risk measure being used, assets will be …
Persistent link: https://www.econbiz.de/10011071274
We show that the level of interest rates determines the magnitude of mispricing at the turn of the tax year, as investors face the trade-o¤ between selling a temporarily depressed stock this year and selling next year, but delaying tax implications by one year. Interest rates do explain the...
Persistent link: https://www.econbiz.de/10011071421
In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second … order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are … consistent with first order stochastic dominance, overall risk measures are not, even if we restrict ourselves to two …
Persistent link: https://www.econbiz.de/10011071496