Showing 1 - 7 of 7
A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has...
Persistent link: https://www.econbiz.de/10010708778
The authors examine the advantages of incorporating strategic exposure to equity volatility into the investment opportunity set of a long-term equity investor. They consider two standard volatility investments: implied volatility and volatility risk premium strategies. An analytical framework,...
Persistent link: https://www.econbiz.de/10010708814
This paper investigates the relationship between disclosure and bank CDS spread during the sovereign debt crisis over …
Persistent link: https://www.econbiz.de/10011273974
question : why do banks fund loans with both equity and demand deposits ? The model determines the optimal bank capital … structure. In comparison with a Diamond-Dybvig bank which funds loans with demand deposits only, a capitalized financial …
Persistent link: https://www.econbiz.de/10010707190
In this theoretical paper, I examine bargaining over the financial terms of a contract between an entrepreneur willing to realize a project and a supportive financier such as a venture capitalist. I study the impact of the endogenous opportunity to resort to non-supportive financiers such as...
Persistent link: https://www.econbiz.de/10010708911
During this interview, Joel Metais retraces the milestones in the history of the financial industry, suffering under the constraints, as least as far as retail banks are concerned, of rules and regulations constituting thinly veiled protectionism, which in Europe has at last begun to give way to...
Persistent link: https://www.econbiz.de/10011072201
previously developed relationship with a lead bank obtained a lower spread and a longer maturity during the financial crisis but …
Persistent link: https://www.econbiz.de/10010960595