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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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Tenure Choice, Portfolio Structure and Long-Term Care - Optimal Risk Management in Retirement
Fehr, Hans - 2019
equity not only serves a dual purpose as a consumption good and as an asset, but also provides insurance to buffer various …
Persistent link: https://www.econbiz.de/10012864931
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The Long-Term Effects of Capital Requirements
De Nicolo, Gianni; Klimenko, Nataliya; Pfeil, Sebastian; … - 2021
We build a stylized dynamic general equilibrium model with financial frictions to analyze costs and benefits of capital requirements in the short-term and long-term. We show that since increasing capital requirements limits the aggregate loan supply, the equilibrium loan rate spread increases,...
Persistent link: https://www.econbiz.de/10013224085
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Insurance for Catastrophes - Indemnity vs. Parametric Insurance with Imperfect Information
Feess, Eberhard; Jordan, Cathrin; Noy, Ilan - 2022
Insurance for natural hazards - earthquakes, hurricanes, or pandemics - is rarely comprehensively adopted without …. Efforts to close this insurance gap include the introduction of parametric (index) insurance products for various catastrophic … risks. We compare parametric to indemnity insurance in a simple model where the insurance company has superior information …
Persistent link: https://www.econbiz.de/10013296268
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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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Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Pesaran, M. Hashem; Smith, Ron - 2021
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …
Persistent link: https://www.econbiz.de/10013233142
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Carbon Dioxide as a Risky Asset
Bauer, Adam Michael; Proistosescu, Christian; Wagner, Gernot - 2023
We develop a financial-economic model for carbon pricing with an explicit representation of decision making under risk and uncertainty that is consistent with the Intergovernmental Panel on Climate Change’s sixth assessment report. We find that this approach provides economic support for the...
Persistent link: https://www.econbiz.de/10014255593
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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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Remittances, banking status and the usage of insurance schemes
Crayen, Dorothee; Hainz, Christa; Ströh de Martínez, … - 2010
can be used to self-insure, substituting for both formal and informal insurance. We investigate this question using a … remittances, which supports the idea that remittances act as (self-) insurance. We also show that purchasing formal funeral cover … is influenced by other risk management strategies and that determinants of informal insurance differ from those of formal …
Persistent link: https://www.econbiz.de/10010270469
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Insuring Peace : Index-Based Livestock Insurance, Droughts, and Conflict
Gehring, Kai; Schaudt, Paul - 2023
, and climate change is predicted to intensify this problem. The Index-Based Livestock Insurance (IBLI) scheme piloted in …
Persistent link: https://www.econbiz.de/10014356486