Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...

This paper uses the market-standard Gaussian copula model to show that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. It implies that credit ratings are not sufficient for pricing, which is surprising given their central role in structured...

Cross-country differences in homeownership rates are large and persistent over time, with homeownership rates ranging from 44% in Switzerland to 83% in Spain. This paper investigates whether cultures-defined as behavioral attitudes passed across generations-may value homeownership differently,...

A ranking method assigns to every weighted directed graph a (weak) orderingof the nodes. In this paper we axiomatize the ranking method that ranksthe nodes according to their outflow using four independent axioms. This outflowranking method generalizes the ranking by outdegree for directed...

This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk and dispersion of risk objectives in a...

In the search for effective pesticide risk management tools, the design of pesticide risk indicators is nowadays receiving increasing attention as a complement to more established regulatory strategies. In the present paper, we apply some recently developed pesticide risk indices and test their...

In general terms, the general Common Transport Policy (CTP) objectives of the European Union may be formulated in efficiency, regional development and environmental categories. Setting objective targets in the environmental field based on scientific evidence is not yet possible, so that it is...