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The competitive firm under price uncertainty : the role of information and hedging

Broll, Udo (contributor); Eckwert, Bernhardt (contributor) - 2007

We study the impact of transparency in a commodity market on the decision problem of a competitive firm under price uncertainty and hedging opportunities. Market transparency is modeled by means of the informational content of publicly observable signals which are correlated with the random...

Persistent link: https://www.econbiz.de/10003581734

Transparency in the banking sector

Broll, Udo; Eckwert, Bernhard; Eickhoff, Andreas - 2011

The paper revisits the impact of uncertainty on the decision problem of a bank. The bank extends risky loans to private investors and sells deposits to savers at fixed rates. The uncertainty under which deposit/loan-portfolios are chosen by banks is endogenized through an information system that...

Persistent link: https://www.econbiz.de/10009425842

Domestic labor, foreign capital and national welfare

Broll, Udo (contributor); Hansen, Sabine (contributor); … - 2004

The competitive allocation of labor across different sectors of an economy may not be socially optimal when one sector uses foreign capital. We argue that a suitably designed government intervention is required to restrict the sectors to their optimal size and maximize national welfare. Such a...

Persistent link: https://www.econbiz.de/10002533708

Value at risk, equity and diversification

Broll, Udo (contributor); Wahl, Jack E. (contributor) - 2006

The value at risk measure attempts to summarize in a single number market value risk of a portfolio of financial assets.The paper focuses on the interaction between the solvency probability of a bank, on one hand, and the diversification potential of its portfolio, on the other hand, when...

Persistent link: https://www.econbiz.de/10003326661

A strategic approach to financial options

Bieta, Volker; Broll, Udo; Milde, Hellmuth; Siebe, Wilfried - 2006

To explain the strategic dimension in pricing options, it will be helpful to go back to the heart of the idea behind the concept of an option: options open up the possibility to postpone current decisions to a future point of time. Because of this flexibility additional information and new...

Persistent link: https://www.econbiz.de/10003315148

Export production, hedging exchange rate risk : the duopoly case

Broll, Udo (contributor); Wahl, Jack E. (contributor); … - 2008

This paper studies a Cournot duopoly in international trade so that the firms are exposed to exchange rate risk. A hedging opportunity is introduced by a forward market where the foreign currency can be traded on. We investigate two settings: First we assume that hedging and output decisions are...

Persistent link: https://www.econbiz.de/10003796261

Export production under exchange rate uncertainty

Broll, Udo (contributor); … - 2008

Given that a multinational enterprise can react flexibly upon exchange rate movements, international trade flows may be interpreted as an option. An enterprise will opt to export if the profits obtained from exporting under given exchange rate developments are greater than if foreign subsidiary...

Persistent link: https://www.econbiz.de/10003796274

Export and benefits of hedging in emerging economies

Broll, Udo; Wahl, Jack E.; Wessel, Christoph - 2009

We study the impact of exchange rate risk upon export production within an emerging economy lacking in currency forward markets. However there exists a financial asset whose price is correlated with the relevant foreign currency. We present conditions under which export production is stimulated...

Persistent link: https://www.econbiz.de/10003867523

Differential taxation and corporate futures-hedging

Wahl, Jack E. (contributor); Broll, Udo (contributor) - 2007

Using a two-moment decision model this paper analyzes corporate hedging behavior in the presence of unified and differential income taxation. We start with the well-known result that risk-taking may increase when income tax rates increase and, therefore, the incentive for hedging reduces. We...

Persistent link: https://www.econbiz.de/10003481308

The new Basel accord and the nature of risk : a game theoretic perspective

Bieta, Volker; Broll, Udo; Milde, Hellmuth; Siebe, Wilfried - 2007

- game theory is a useful set of tools for better understanding different risk settings. Embedded in a short history of the … Basel Accord in this article we introduce some basic ideas of game theory in the context of rating procedures in accordance … with Basel II. As well, some insight is given how game theory works. Here, the primary value of game theory stems from its …

Persistent link: https://www.econbiz.de/10003481314