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Do information contagion and business model similarities explain bank credit risk commonalities?
Wang, Dieter; Lelyveld, Iman van; Schaumburg, Julia - 2018
This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The … models to account for information spillovers based on bank business model similarities. To capture this channel, we propose … Eurozone. Incorporating the network information into the structural model for bank credit spreads increases explanatory power …
Persistent link: https://www.econbiz.de/10011949150
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The degree measure as utility function over positions in networks
Brink, René van den; Rusinowska, Agnieszka - 2017
In this paper, we connect the social network theory on centrality measures to the economic theory of preferences and …
Persistent link: https://www.econbiz.de/10011688772
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010
Persistent link: https://www.econbiz.de/10008771804
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Management science, economics and finance : a connection
Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - 2016
This paper provides a brief review of the connecting literature in management science, economics and finance, and discusses some research that is related to the three disciplines. Academics could develop theoretical models and subsequent econometric models to estimate the parameters in the...
Persistent link: https://www.econbiz.de/10011479822
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...
Persistent link: https://www.econbiz.de/10011382430
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The Nash- and Kalai-Smorodinsky bargaining solution for decision weight utility functions
Houba, Harold; Tieman, Alexander F.; Brinksma, René - 1996
Persistent link: https://www.econbiz.de/10000941220
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Existence and welfare properties of equilibrium in an exchange economy with multiple divisible, indivisible commodities and linear production technologies
Laan, Gerard van der; Talman, Dolf; Yang, Zaifu - 1999
Persistent link: https://www.econbiz.de/10001412148
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The macroeconomics of the credit crisis : in search of externalities for macro-prudential supervision
Butter, Frank A. G. den - 2010
In the analysis of the credit crisis of 2007-2010 a clear distinction should be made between (i) the initial shock; (ii) the propagation and amplification of the initial shock to the systemic crisis of the financial markets; and (iii) the transmission of the credit crisis to the real economic...
Persistent link: https://www.econbiz.de/10011380729
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Coco design, risk shifting and financial fragility
Chan, Stephanie; Wijnbergen, Sweder van - 2016 - This version: January 28, 2016
We highlight the ex ante risk-shifting incentives faced by a bank's shareholders/managers when CoCos (contingent …
Persistent link: https://www.econbiz.de/10011441586
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The entrepreneurial adjustment process in disequilibrium
Burke, Andrew; Stel, Adriaan J. van - 2009
The main contribution of entrepreneurship theory to economics is to provide an account of market performance in …
Persistent link: https://www.econbiz.de/10011377541