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Accounting noise and the pricing of cocos

Derksen, Mike; Spreij, Peter; Wijnbergen, Sweder van - 2018

the maxumum Distributable Amount not being exceeded. We examine the impact of CoCo design parameters, asset volatility and …

Persistent link: https://www.econbiz.de/10011818282

Asset pricing in incomplete markets : valuing gas storage capacity

Zhao, Lin; Wijnbergen, Sweder van - 2015

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

Persistent link: https://www.econbiz.de/10011333083

What option prices tell us about the ECB's unconventional monetary policies

Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018

We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...

Persistent link: https://www.econbiz.de/10011940034

The social cost of carbon under climate volatility risk

Lin, Xu; Wijnbergen, Sweder van - 2023

We calculate the social cost of carbon (SCC) under stochastic climate volatility resulting from uncertainty about … climate volatility risks substantially increase the SCC both in the business-as-usual and optimal abatement policy scenario … more frequent disasters for equal expected value. Overall we show that stochastic volatility has a major impact on the SCC. …

Persistent link: https://www.econbiz.de/10014290496

Performance measurement, expectancy and agency theory : an experimental study

Sloof, Randolph; Praag, Mirjam van - 2006

noise in the performance measure. In contrast, expectancy theory as developed by psychologists predicts lower effort levels …

Persistent link: https://www.econbiz.de/10011343251

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 convertible capital) are part of the capital structure. The risk shifting incentive arises from the wealth transfers that the shareholders will receive upon the CoCo's conversion...

Persistent link: https://www.econbiz.de/10011441586