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Balance sheet capacity and endogenous risk
Danielsson, Jon; Song Shin, Hyun; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2011
Banks operating under Value-at-Risk constraints give rise to a welldefined aggregate balance sheet capacity for the banking sector as a whole that depends on total bank capital. Equilibrium risk and market risk premiums can be solved in closed form as functions of aggregate bank capital. We...
Persistent link: https://www.econbiz.de/10010884614
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Multiple-bank lending: diversification and free-riding in monitoring
Carletti, Elena; Cerasi, Vittoria; Daltung, Sonja - London School of Economics (LSE) - 2004
This paper analyzes banks’ choice between lending to firms individually and sharing lending with other banks, when firms and banks are subject to moral hazard and monitoring is essential. Multiple-bank lending is optimal whenever the benefit of greater diversification in terms of higher...
Persistent link: https://www.econbiz.de/10010745086
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Loan maturity and renegotiation evidence from the lending practices of large and small banks
Albertazzi, Ugo - London School of Economics (LSE) - 2007
Corporate finance theories suggest that problems of asymmetric information and moral hazard in credit markets can be addressed by choosing short-term maturities. Theories of debt renegotiation suggest that the credibility of the implicit commitment to not make concessions to insolvent borrowers,...
Persistent link: https://www.econbiz.de/10010745643
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Procyclical leverage and value-at-risk
Adrian, Tobias; Shin, Hyun Song - London School of Economics (LSE) - 2013
The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned with the banks’ value-at-risk (VaR). Motivated by the evidence, we explore a contracting model that...
Persistent link: https://www.econbiz.de/10011171761
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Pricing of Asian options on interest rates in the CIR model
Dassios, Angelos; Nagaradjasarma, Jayalaxshmi - London School of Economics (LSE) - 2011
probability distribution function. Applications to the valuation of derivatives, including Asian options prices in closed form … others areas of finance, among which stochastic volatility and credit derivatives. …
Persistent link: https://www.econbiz.de/10010746216
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Reforming securities and derivatives trading in the EU: from EMIR to MiFIR
Ferrarini, Guido; Saguato, Paolo - London School of Economics (LSE) - 2013
The financial crisis has generated a deep revision of the regulation of securities and derivatives markets. In this … derivatives markets, while correspondingly reducing the scope of "private" markets (which broadly coincide with the "unregulated … of securities and derivatives trading in Europe. For these purposes, we formulate conjectures that are partly based on …
Persistent link: https://www.econbiz.de/10011126127
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The National Audit Office, the Public Accounts Committee and the risk landscape in UK public policy
Dunleavy, Patrick; Gilson, Christopher; Bastow, Simon; … - London School of Economics (LSE) - 2009
Persistent link: https://www.econbiz.de/10010884670
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Corporate ownership structure and performance in Europe
Grant, Jeremy; Kirchmaier, Thomas - London School of Economics (LSE) - 2004
In this paper, we show that ownership structures vary considerably across Europe, and that the dominant form of ownership is not necessarily the most efficient one. These findings are in contradiction to similar research based on US samples. The results also demonstrate that firms without a...
Persistent link: https://www.econbiz.de/10010884735
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Rights offerings, trading, and regulation: a global perspective
Massa, Massimo; Vermaelen, Theo; Xu, Moqi - London School of Economics (LSE) - 2013
We study rights offerings using a sample of 8,238 rights offers announced during 1995-2008 in 69 countries. Although shareholders prefer having the option to trade rights, issuers deliberately restrict tradability in 38% of the offerings. We argue that firms restrict rights trading to avoid the...
Persistent link: https://www.econbiz.de/10010884755
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Risk averse supervisors and the efficiency of collusion
Faure-Grimaud, Antoine; Laffont, Jean-Jacques; … - London School of Economics (LSE) - 2002
This paper studies the efficiency of collusion between supervisors and supervisees. Building on Tirole (1986)’s results that deterring collusion with infinitely risk averse supervisors is impossible, while it is costless to do so under risk neutrality, we develop here a theory of collusion...
Persistent link: https://www.econbiz.de/10010928620