This paper discusses the valuation of wage-indexed pension fund liabilities. Valuation by replication with market instruments is typically not possible as there are no wage-indexed assets. This paper discusses several methods to find a value in such incomplete markets and advocates utility-based...

(paper is in Dutch) This study surveys the behavioural finance literature. It discusses both the literature that incorporates behavioural considerations into rational models, and the literature that concentrates on the role of prospect theory and the effect of cognitive-psychological mechanisms...

This paper surveys the behavioural finance explanation of six puzzles of finance. These puzzles are: stock price under- and overreactions, excessive trading and the gender puzzle, financial hypes and panic, the equity premium puzzle, the winner/loser puzzle and the dividend puzzle. After an...

We present the application of network theory to the Dutch payment system with specific attention to systemic stability. The network nodes comprise of domestic banks, large international banks and TARGET countries, the links are established by payments between the nodes. Traditional measures...

This paper empirically investigates if insurers exhibited a flight home or flight to quality during the European sovereign debt crisis and other stages of the financial crisis. Our dataset consists of over sixty insurance companies, for which we separately observe trading behaviour and portfolio...

This paper assesses the determinants of market impact costs of institutional equity trades, using unique data from the world's second largest pension fund. We allow the impact of trade characteristics and market conditions on trading costs to depend on the level of trading costs itself and...

Often, a relatively small group of trades causes the major part of the trading costs on an investment portfolio. For the equity trades studied in this paper, executed by the world's second largest pension fund, we find that only 10% of the trades determines 75% of total market impact costs....

This report analyses the portfolio behaviour of Dutch households. The study is partly based on information from a broad survey commissioned by the Nederlandsche Bank, held in March of this year. The investigation shows that risk bearing elements are becoming more and more important in households...

Diversification by banks affects the systemic risk of the sector. Importantly, Wagner (2010) shows that linear diversification increases systemic risk. We consider the case of securitization, whereby loan portfolios are sliced into tranches with different seniority levels. We show that tranching...

This paper empirically investigates international equity investors' foreign portfolios before and during the financial crisis by estimating a gravity model for 22 source and 42 destination countries. The results show that international stock market diversification provides large gains during the...