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Faure, Salomon; Gersbach, Hans - 2016

capital regulation in a general equilibrium setting. There are two types of money created and destructed: bank deposits, when …

Persistent link: https://www.econbiz.de/10011558083

Loanable funds vs money creation in banking: A benchmark result

Faure, Salomon A.; Gersbach, Hans - 2017

We establish a benchmark result for the relationship between the loanablefunds and the money-creation approach to banking. In particular, we show that both processes yield the same allocations when there is no uncertainty and thus no bank default. In such cases, using the much simpler...

Persistent link: https://www.econbiz.de/10011764472

Insuring non-verifiable losses

Doherty, Neil A.; Laux, Christian; Muermann, Alexander - Center for Financial Studies - 2011

Insurance contracts are often complex and difficult to verify outside the insurance relation. We show that standard one-period insurance policies with an upper limit and a deductible are the optimal incentive-compatible contracts in a competitive market with repeated interaction. Optimal group...

Persistent link: https://www.econbiz.de/10011105005

A note on uniqueness in game-theoretic foundations of the reactive equilibrium

Mimra, Wanda; Wambach, Achim - Center for Financial Studies - 2014

Riley (1979)'s reactive equilibrium concept addresses problems of equilibrium existence in competitive markets with … adverse selection. The game-theoretic interpretation of the reactive equilibrium concept in Engers and Fernandez (1987) yields … the Rothschild-Stiglitz (1976)/Riley (1979) allocation as an equilibrium allocation, however multiplicity of equilibrium …

Persistent link: https://www.econbiz.de/10010961635

Money in motion: Dynamic portfolio choice in retirement

Horneff, Wolfram J.; Maurer, Raimond H.; Mitchell, Olivia S. - Center for Financial Studies - 2007

Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial...

Persistent link: https://www.econbiz.de/10010958527

Does income inequality lead to consumption inequality? Evidence and theory

Krueger, Dirk; Perri, Fabrizio - Center for Financial Studies - 2005

evaluate, in the context of a calibrated general equilibrium production economy, whether this set-up, or alternatively a …

Persistent link: https://www.econbiz.de/10010958571

Competitive risk sharing contracts with one-sided commitment

Krueger, Dirk; Uhlig, Harald - Center for Financial Studies - 2005

This paper analyzes dynamic equilibrium risk sharing contracts between profit-maximizing intermediaries and a large … can be provided because in an equilibrium contract an up-front payment e.ectively locks in the agent with an intermediary …

Persistent link: https://www.econbiz.de/10010958625

ART Versus Reinsurance: The Disciplining Effect of Information Insensitivity

Brandts, Silke; Laux, Christian - Center for Financial Studies - 2005

products exhibit an interesting fate in our model as they are useful, but not used in equilibrium because of basis-risk. …

Persistent link: https://www.econbiz.de/10010958647

Corporate insurance design with multiple risks and moral hazard

Laux, Christian - Center for Financial Studies - 2008

The paper provides novel insights on the effect of a firm's risk management objective on the optimal design of risk transfer instruments. I analyze the interrelation between the structure of the optimal insurance contract and the firm's objective to minimize the required equity it has to hold to...

Persistent link: https://www.econbiz.de/10010958678

Credit risk transfer and contagion

Allen, Franklin; Carletti, Elena - Center for Financial Studies - 2005

Some have argued that recent increases in credit risk transfer are desirable because they improve the diversification of risk. Others have suggested that they may be undesirable if they increase the risk of financial crises. Using a model with banking and insurance sectors, we show that credit...

Persistent link: https://www.econbiz.de/10010958684