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Bank Bonus Pay as a Risk Sharing Contract
Efing, Matthias - 2019
We argue that risk sharing motivates the bank-wide structure of bonus pay. In the presence of financial frictions that make external financing costly, the optimal contract between shareholders and employees involves some degree of risk sharing whereby bonus pay partially absorbs earnings shocks....
Persistent link: https://www.econbiz.de/10012892088
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Tenure Choice, Portfolio Structure and Long-Term Care - Optimal Risk Management in Retirement
Fehr, Hans - 2019
We study the interplay between tenure decisions, stock market investment and the public social security system. Housing equity not only serves a dual purpose as a consumption good and as an asset, but also provides insurance to buffer various risks in retirement. Our life cycle model captures...
Persistent link: https://www.econbiz.de/10012864931
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Voluntary Equity, Project Risk, and Capital Requirements
Haufler, Andreas; Lülfesmann, Christoph - 2022
We introduce a model of the banking sector that formally incorporate a buffer function of capital. Heterogeneous banks choose their portfolio risk, bank size, and capital holdings. Banks voluntarily hold equity when the buffer effect against the risk of default outweighs the cost advantages of...
Persistent link: https://www.econbiz.de/10013308111
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Can Time-Varying Currency Risk Hedging Explain Exchange Rates?
Bräuer, Leonie; Hau, Harald - 2022
bond positions, which creates a net hedging demand for dollar assets that depreciates USD rates in both the forward and … spot markets. We document the time-varying nature of this net hedging demand and show how it relates to eco … FX hedging pressure can account for approximately 30% of all monthly variation in the seven most important dollar …
Persistent link: https://www.econbiz.de/10014242128
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Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management
Pesaran, Mohammad Hashem; Zaffaroni, Paolo - 2004
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. In particular, it is shown that under certain...
Persistent link: https://www.econbiz.de/10010276158
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Firm heterogeneity and credit risk diversification
Hanson, Samuel; Pesaran, Mohammad Hashem; Schuermann, Til - 2005
This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...
Persistent link: https://www.econbiz.de/10010276169
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Spite vs. Risk : Explaining Overbidding
Kirchkamp, Oliver - 2019
In this paper we use an experiment to compare a theory of risk aversion and a theory of spite as an explanation for …
Persistent link: https://www.econbiz.de/10012870642
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Compliance Effects of Risk-Based Tax Audits
Løyland, Knut - 2019
Tax administrations use machine learning to predict risk scores as a basis for selecting individual taxpayers for audit. Audits detect noncompliance immediately, but may also alter future filing behavior. This analysis is the first to estimate compliance effects of audits among high-risk wage...
Persistent link: https://www.econbiz.de/10012871024
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Measuring the Economic Risk of COVID-19
Noy, Ilan - 2020
We measure the economic risk of COVID-19 at a geo-spatially detailed resolution. In addition to data about the current prevalence of confirmed cases, we use data from 2014-2018 and a conceptual disaster risk model to compute measures for exposure, vulnerability, and resilience of the local...
Persistent link: https://www.econbiz.de/10012830356
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Cybersecurity Risk
Florackis, Chris; Louca, Christodoulos; Michaely, Roni; … - 2021
We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays intuitive relations with quantitative measures of...
Persistent link: https://www.econbiz.de/10013314803