Narrow search
Showing 1 - 10 of 119
Cover Image
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
Cover Image
How to lose money in derivatives: examples from hedge funds and bank trading departments
Ziemba, Bill; Lleo, Sebastien - London School of Economics (LSE) - 2014
What makes futures hedge funds fail? The common ingredient is over betting and not being diversified in some bad scenarios that can lead to disaster. Once troubles arise, it is difficult to take the necessary actions that eliminate the problem. Moreover, many hedge fund operators tend not to...
Persistent link: https://www.econbiz.de/10011201256
Cover Image
Systems and systemic risk in finance and economics
Zigrand, Jean-Pierre - London School of Economics (LSE) - 2014
This paper examines the concept of systemic risk and provides an intuitive account of the economic thought on systems and the development of the notion of systemic risk. It is illustrated by putting the ideas of system, systemic risk and endogenous risk in a historial perspective.
Persistent link: https://www.econbiz.de/10011201257
Cover Image
Regulating financial market infrastructures
Ferrarini, Guido; Saguato, Paolo - London School of Economics (LSE) - 2014
This paper focuses on the impact of financial market infrastructures (FMIs) and of their regulation on the post-crisis transformation of securities and derivatives markets. It examines, in particular, the role that trading and post-trading FMIs, and their new regulatory regime, are playing in...
Persistent link: https://www.econbiz.de/10011125895
Cover Image
Multiple-bank lending: diversification and free-riding in monitoring
Carletti, Elena; Cerasi, Vittoria; Daltung, Sonja - London School of Economics (LSE) - 2004
. The model predicts a greater use of multiple-bank lending when banks are small relative to investment projects, firms are …
Persistent link: https://www.econbiz.de/10010745086
Cover Image
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
Cover Image
Procyclical leverage and value-at-risk
Adrian, Tobias; Shin, Hyun Song - London School of Economics (LSE) - 2013
distribution given by Extreme Value Theory (EVT), intermediaries maintain a constant probability of default to shifts in the …
Persistent link: https://www.econbiz.de/10011171761
Cover Image
Banking on trust: managing reputation risk in financial service organizations
Scott, Susan V.; Walsham, Geoff - London School of Economics (LSE) - 2002
In this paper we introduce concepts that build a theoretical notion of reputation risk and establish the need to extend … our approach to managing such risk.. The existing literature on reputation risk has tended to be reactive and focus on … corrosive may present an occasion for creative management. We suggest that proactive reputation risk policies and practices are …
Persistent link: https://www.econbiz.de/10010746546
Cover Image
Investment choice and inflation uncertainty
Fischer, Gregory - London School of Economics (LSE) - 2013
This paper investigates the relationship between infation uncertainty and investment using a panel of loan-level data … investment. Moreover, there is a shift in the composition of investment away from fixed assets and towards working capital - the … more flexible factor of production - and fixed asset investment exhibits periods of inaction consistent with real option …
Persistent link: https://www.econbiz.de/10010884740
Cover Image
Organizational diseconomies in the mutual fund industry
Garavito, Fabian - London School of Economics (LSE) - 2009
I document how the organizational form of a mutual fund aects its investment strategies. I show that centralized funds …
Persistent link: https://www.econbiz.de/10010745390