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House Prices, Second Mortgages and Household Savings; An Empirical Investigation for the Netherlands, 1987-1994
Rouwendal, Jan; Alessie, Rob - Tinbergen Instituut - 2002
Since the beginnings of the eighties house prices in the Netherlands haveincreased steadily and considerably. In this paper we study the effect of this developmenton the demand for second mortgages and on the savings of Dutch households. We use the dataof the Dutch socio-economic panel for the...
Persistent link: https://www.econbiz.de/10011256325
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US and European Household Debt and Credit Constraints
Crook, Jonathan; Hochguertel, Stefan - Tinbergen Instituut - 2007
This paper uses micro data from four OECD countries (the United States, Spain, Italy, and the Netherlands), to assess the determinants of household debt holding and to investigate whether or not credit constraints are important for household debt holding. We extend the existing literature in...
Persistent link: https://www.econbiz.de/10011257319
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For Better and for Worse - How Unpaid Bride Wealth provides Security
Hoogeveen, Hans - Tinbergen Instituut - 2000
The obligation to pay bride wealth at marriage is usually associated with thecontinuation of the lineage or considered a compensation for the loss of laborfor the family that provides the bride. In this paper a different interpretationis advanced. The obligation to pay of bride wealth is seen as...
Persistent link: https://www.econbiz.de/10011255899
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The Social Dilemma of Microinsurance: A Framed Field Experiment on Free-Riding and Coordination
Janssens, Wendy; Kramer, Berber - Tinbergen Instituut - 2012
. Less risk averse clients have a private incentive to free-ride and forgo individual insurance even when insurance optimises …
Persistent link: https://www.econbiz.de/10011255483
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Business and Default Cycles for Credit Risk
Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2003
important for credit risk management as well as for regulation and systemic risk management. In this paper, we use 1927-1997 U …
Persistent link: https://www.econbiz.de/10011255530
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Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
Koopman, Siem Jan; Lucas, Andre; Schwaab, Bernd - Tinbergen Instituut - 2010
We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We … disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry … simultaneously. We find that all three types of risk factors (macro, frailty, industry/contagion) are important for default risk. The …
Persistent link: https://www.econbiz.de/10011255567
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Modeling Portfolio Defaults using Hidden Markov Models with Covariates
Banachewicz, Konrad; Vaart, Aad van der; Lucas, André - Tinbergen Instituut - 2006
We extend the Hidden Markov Model for defaults of Crowder, Davis, and Giampieri (2005) to include covariates. The covariates enhance the prediction of transition probabilities from high to low default regimes. To estimate the model, we extend the EM estimating equations to account for the time...
Persistent link: https://www.econbiz.de/10011255628
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A Capital Adequacy Buffer Model
Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel …) which measures additional returns to compensate for additional share price risk. …
Persistent link: https://www.econbiz.de/10011255629
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State Aid and Bank Intervention: The ING Illiquid Assets Back-up Facility (IABF)
Wijnbergen, Sweder van; Treur, Leontine - Tinbergen Instituut - 2011
Alt-A related risk. Did the deal involve state aid? Usingmarketprices to evaluate the SWAP directly is impossible because …
Persistent link: https://www.econbiz.de/10011255729
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Risk Diversification by European Financial Conglomerates
Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - Tinbergen Instituut - 2005
We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and … insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from … of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates …
Persistent link: https://www.econbiz.de/10011255734