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systemic runs for large shocks, but provide insurance against rollover risk for moderate shocks. Insurance operates via loan …, novation and default fund reduce the risk of systemic runs. Collateral aligns private incentives with the socially optimal …
Persistent link: https://www.econbiz.de/10011876120
. Other systemically important institutions bear more individual market risk. The two groups and the global financial system …
Persistent link: https://www.econbiz.de/10012219367
explained by different individual or managerial performance. The gap is influenced more by individuals than by institutions …
Persistent link: https://www.econbiz.de/10014356063
stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors …
Persistent link: https://www.econbiz.de/10011877252
risk. In this model, banks face taxation, flotation costs of securities, and default costs and maximize shareholder value …
Persistent link: https://www.econbiz.de/10011293576
-but-plausible failure threatens global financial market stability. This work examines CCP resilience following a large dealer member … themselves. In turn, the adoption of a risk-sharing guarantee fund structure would provide a natural disciplinary mechanism for …
Persistent link: https://www.econbiz.de/10012419635
Recently, for standard asset classes, the first mutual clearing agreements between Central Coun- terparties (CCPs) have come into existence. There are already global concerns over the unique threats and benefits which arise from these situations, and further concern for an extension of agree-...
Persistent link: https://www.econbiz.de/10012271216
alpha. Our approach improves out-of-sample portfolio performance and significantly alters asset allocation decisions …
Persistent link: https://www.econbiz.de/10010412658
We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance … decrease in performance with a new model formed with alternative factors that capture variance, correlation, liquidity, betting …
Persistent link: https://www.econbiz.de/10012419384
Managerial resistance precludes half of shareholder-initiated proposals from reaching the ballot stage. I construct a novel dataset of excluded and withdrawn proposals from the Securities and Exchange Commission's responses to managers' exclusion requests. An examination of announcement returns...
Persistent link: https://www.econbiz.de/10011976966