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Carbon Default Swap - Disentangling the Exposure to Carbon Risk Through CDS
Blasberg, Alexander; Kiesel, Ruediger; Taschini, Luca - 2022
Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms’ credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...
Persistent link: https://www.econbiz.de/10014243102
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Business Tax Policy Under Default Risk
Comincioli, Nicola - 2019
In this article we use a stochastic model with one representative firm to study business tax policy under default risk. We will show that, for a given tax rate, the government has an incentive to reduce (increase) financial instability and default costs if its objective function is welfare (tax...
Persistent link: https://www.econbiz.de/10012866382
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A Welfare Analysis on Start-Up Decisions Under Default Risk
Comincioli, Nicola; Panteghini, Paolo M.; Vergalli, Sergio - 2021
This short article studies the tax effects on a start-up investment decision under uncertainty. Since the representative firm can decide both when to invest and how much to borrow, the distortive effects are twofold. We thus show that the deadweight loss (namely, the ratio between the welfare...
Persistent link: https://www.econbiz.de/10013310768
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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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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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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … countries that do not allow for mortgage securitization. Our results are based on quarterly data from a panel of 16 …
Persistent link: https://www.econbiz.de/10010264540
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Pooling, tranching and credit expansion
Bougheas, Spiros - 2012
Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well …-rated tranche. This paper builds a simple model of securitization that accounts for the above retention strategies. Banks in the …
Persistent link: https://www.econbiz.de/10010283592
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Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model
Gomez, Thomas - 2020
We propose a heuristic switching model of an asset market where the agents' choice of heuristic is consistent with their individual risk aversion. They choose between a fundamentalist and a trend-following rule to form expectations about the price of a risky asset. Given their risk aversion,...
Persistent link: https://www.econbiz.de/10012844420