In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … stabilizing effects. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes …

We empirically investigated the impact of regulatory risk retention methods on credit ratings and pricing at issuance … using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the … investigated the impact of these methods on the pricing of securitization tranches and found that investors adjust the risk premium …

normal volatility dynamics and macroeconomic uncertainty. Building on intuition from the dynamic asset pricing literature, we …

Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and …