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Incentives for Effective Risk Management

Daníelsson, Jón; Jorgensen, Bjørn N.; Vries, Casper G. de - Tinbergen Instituut - 2001

standard approach subsequent to becoming regulated, i.e., the presence of regulation may induce a bank to decrease the quality …

Persistent link: https://www.econbiz.de/10011255855

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

Shadow Banking and Traditional Bank Lending: The Role of Implicit Guarantees

Gornicka, Lucyna - Tinbergen Instituut - 2014

Bank holding companies (BHCs) invest in risky projects through bank entities or sell projects for a fee, thus engaging in shadow banking. BHCs can increase their fee income by guaranteeing sold projects with a recourse to the bank's balance sheet. When the expected guarantee repayments depend on...

Persistent link: https://www.econbiz.de/10011256875

Credit Rationing Effects of Credit Value-at-Risk

Slijkerman, Jan Frederik; Smant, David J.C.; Vries, … - Tinbergen Instituut - 2004

asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem … of low quality, i.e. high risk, loans and therefore reduces the risk of the bank loan portfolio. However, CVaR regulation … welfare. CVaR regulation also affects the operation of monetary policy. …

Persistent link: https://www.econbiz.de/10011257219

Who is at the Top? Wealth Mobility over the Life Cycle

Hochguertel, Stefan; Ohlsson, Henry - Tinbergen Instituut - 2012

Who is wealthy? This paper presents empirical estimates of household movements into and out of the top percents of the wealth distribution over individual life cycles. There are life-cycle motives and precautionary motives for wealth accumulation. The opportunities to accumulate wealth create...

Persistent link: https://www.econbiz.de/10011255999

Mapping the Minds of Retirement Planners

Hershey, Douglas A.; Henkens, Kène; Dalen, Hendrik P. van - Tinbergen Instituut - 2006

This study explored the psychological mechanisms that underlie the retirement planning and saving tendencies of Dutch and American workers. Participants were 988 Dutch and 429 Americans, 25-64 years of age. Analyses were designed to: (a) examine the extent to which structural variables were...

Persistent link: https://www.econbiz.de/10011256396

Savings Adequacy Uncertainty: Driver or Obstacle to Increased Pension Contributions?

Schie, Ron J.G. van; Donkers, Bas; Dellaert, Benedict G.C. - Tinbergen Instituut - 2012

Deciding how much to save for retirement is a difficult task that includes many uncertainties. In this paper, we use data from a representative Dutch household panel to study the impact of uncertainty regarding one's savings adequacy on retirement savings contributions and information search...

Persistent link: https://www.econbiz.de/10011257076

Generational Accounting, Solidarity and Pension Losses

Teulings, Coen N.; Vries, Casper G. de - Tinbergen Instituut - 2003

The stock market collapse led to political tensions between generations due to the fuzzy definition of the property rights over the pension funds’ wealth. The problem is best resolved by the introduction of generational accounts. Modern consumption and portfolio theory shows that the younger...

Persistent link: https://www.econbiz.de/10011255727

Risk Measures for Autocorrelated Hedge Fund Returns

Cesare, Antonio Di; Stork, Philip A.; Vries, Casper G. de - Tinbergen Instituut - 2011

Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported returns. Getmansky et al. (2004) derive mean,variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Followingtheir lead, adjusted downside and global...

Persistent link: https://www.econbiz.de/10011255664

Will Islamic Banking make the World less risky? An Empirical Analysis of Capital Structure, Risk Shifting and Financial Stability

Farooq, Moazzam; Wijnbergen, Sweder van; Zaheer, Sajjad - Tinbergen Instituut - 2015

We use a classic Merton credit risk framework to argue that Islamic Banking Institutions (IBIs) face less incentive to take on risks than Conventional Banking Institutions (CBI). IBIs have less incentive for risk shifting both in and outside of distress situations. We test and confirm this...

Persistent link: https://www.econbiz.de/10011275100

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