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Wealth Taxation, Non-Listed Firms, and the Risk of Entrepreneurial Investment

Schindler, Dirk - 2017

How to incorporate hard-to-measure assets into the wealth tax? We analyze the effect of an optimal wealth tax on risk-taking behavior and welfare when investors do not only have the standard portfolio choice with a well-diversified market portfolio, but can alternatively choose to invest all...

Persistent link: https://www.econbiz.de/10012951768

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021

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. Evaluation of volatility models is then considered...

Persistent link: https://www.econbiz.de/10013316571

Illiquidity and Under-Valuation of Firms

Gale, Douglas M. - 2012

We study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature and default may lead to the sale of the firms' assets at fire sale prices when markets are illiquid. This incompleteness is the only friction in the model and the...

Persistent link: https://www.econbiz.de/10013116475

Endogenous Systemic Liquidity Risk

Cao, Jin - 2013

Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing …, 2008), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback … between lender of last resort policy and incentives of private banks, determining the aggregate amount of liquidity available …

Persistent link: https://www.econbiz.de/10013095988

Basel Accord and Financial Intermediation : The Impact of Policy

Berka, Martin - 2013

This paper studies loan activity in a context where banks must follow Basel Accord-type rules and acquire financing from households. Loan activity typically decreases when entrepreneurs' investment returns decline, and we study which type of policy could revigorate an economy in a trough. We...

Persistent link: https://www.econbiz.de/10013091686

Optimal Risk-Sharing in Mortgage Contracts : The Effects of Potential Prepayment and Default

Brueckner, Jan K. - 2014

Much of the literature on the economics of mortgage markets has studied the FRM-ARM choice made by individual borrowers. However, to decide if the outcome of such a choice is efficient or approximately so, it is necessary to explore the question of optimal risk-sharing in mortgage contracts. But...

Persistent link: https://www.econbiz.de/10013046055

Creditor Passivity : The Effects of Bank Competition and Institutions on the Strategic Use of Bankruptcy Filings

Hainz, Christa - 2021

Why do banks remain passive? In a model of bank-firm relationship we study the trade-off a bank faces when having defaulting firms declared bankrupt. First, the bank receives a payoff if a firm is liquidated. Second, it provides information about a firm's type to its competitors. Thereby,...

Persistent link: https://www.econbiz.de/10013316824

Rumors and Runs in Opaque Markets : Evidence from Panic of 1907

Fohlin, Caroline - 2016

impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial …

Persistent link: https://www.econbiz.de/10012981593

Risk Sharing in Defined-Contribution Funded Pension Systems

Beetsma, Roel M. W. J. - 2011

This paper explores the introduction of collective risk-sharing elements in defined contribution pension contracts. We consider status-contingent, age-contingent and asset contingent risk-sharing arrangements. All arrangements raise aggregate welfare, as measured by equivalent variations. While...

Persistent link: https://www.econbiz.de/10013118167

Complex Financial Networks and Systemic Risk : A Review

Bougheas, Spiros - 2014

In this paper we review recent advances in financial economics in relation to the measurement of systemic risk. We start by reviewing studies that apply traditional measures of risk to financial institutions. However, the main focus of the review is on studies that use network analysis paying...

Persistent link: https://www.econbiz.de/10013054029

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