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More Hedging Instruments may destablize Markets

Brock, William; Hommes, Cars; Wagener, Florian - Tinbergen Instituut - 2006

. 1912-1928. This paper formalizes the idea that more hedging instruments may destabilize markets when traders are … settings, a simple mean-variance asset pricing model, a general equilibrium two-period overlapping generations model with … heterogeneous expectations and a noisy rational expectations asset pricing model with heterogeneous information signals. In each …

Persistent link: https://www.econbiz.de/10011255525

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - Tinbergen Instituut - 2013

Published in the Journal of Reviews on Global Economics (2013). Volume 2, pages 307-329. Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents....

Persistent link: https://www.econbiz.de/10011256404

Optimal Hedging with the Vector Autoregressive Model

Gatarek, Lukasz; Johansen, Søren - Tinbergen Instituut - 2014

We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model …

Persistent link: https://www.econbiz.de/10011257633

The Determinants of CDS Bid-ask Spreads

Wojtowicz, Marcin - Tinbergen Instituut - 2014

We investigate the determinants of bid-ask spreads on corporate credit default swaps (CDSs). We find that proxies for dealer inventory costs such as variability of CDS premia and CDS trading volume explain as much as 80% of variation in CDS bid-ask spreads. We also analyze the influence of...

Persistent link: https://www.econbiz.de/10011256084

Credit Protection and Lending Relationships

Arping, Stefan - Tinbergen Instituut - 2012

We examine the impact CDS protection on lending relationships and efficiency. CDS insulate lenders against losses from forcing borrowers into default and liquidation. This improves the credibility of foreclosure threats, which can have positive implications for borrower incentives and credit...

Persistent link: https://www.econbiz.de/10011256236

Urban Transport Policies: The Dutch Struggle with Market Failures and Policy Failures

Rietveld, Piet - Tinbergen Instituut - 2004

transport and biking. Special attention is paid to parking problems, and possibilities to cope with these by pricing measures …. It is demonstrated that in some cases parking externalities lead to non-convexities that make pricing policies less …

Persistent link: https://www.econbiz.de/10011257440

Cyclicality in Losses on Bank Loans

Keijsers, Bart; Diris, Bart; Kole, Erik - Tinbergen Instituut - 2015

Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...

Persistent link: https://www.econbiz.de/10011272584

Business and Default Cycles for Credit Risk

Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2003

This discussion paper led to an article in the Journal of Applied Econometrics (2005). Vol. 20, issue 2, pages 311-323. Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles...

Persistent link: https://www.econbiz.de/10011255530

A Capital Adequacy Buffer Model

Allen, David; McAleer, Michael - Tinbergen Instituut - 2013

combination of the Merton structural model which measures distance to default and the timeless capital asset pricing model (CAPM …

Persistent link: https://www.econbiz.de/10011255629

Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk

Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Instituut - 2006

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

Persistent link: https://www.econbiz.de/10011255640