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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10011256871
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A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles
Heidergott, Bernd; Volk-Makarewicz, Warren - Tinbergen Instituut - 2013
Quantiles play an important role in modelling quality of service in the service industry and in modelling risk in the financial industry. Recently, Hong showed in his breakthrough papers that efficient simulation based estimators can be obtained for quantile sensitivities by means of sample path...
Persistent link: https://www.econbiz.de/10011257156
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Will Islamic Banking make the World less risky? An Empirical Analysis of Capital Structure, Risk Shifting and Financial Stability
Farooq, Moazzam; Wijnbergen, Sweder van; Zaheer, Sajjad - Tinbergen Instituut - 2015
We use a classic Merton credit risk framework to argue that Islamic Banking Institutions (IBIs) face less incentive to take on risks than Conventional Banking Institutions (CBI). IBIs have less incentive for risk shifting both in and outside of distress situations. We test and confirm this...
Persistent link: https://www.econbiz.de/10011275100
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Does Competition make Banks more Risk-seeking?
Arping, Stefan - Tinbergen Instituut - 2014
This article presents a model in which, contrary to conventional wisdom, competi- tion can make banks more reluctant to take excessive risks: As competition intensifies and margins decline, banks face more-binding threats of failure, to which they may respond by reducing their risk-taking. Yet,...
Persistent link: https://www.econbiz.de/10011255642
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Generational Accounting, Solidarity and Pension Losses
Teulings, Coen N.; Vries, Casper G. de - Tinbergen Instituut - 2003
The stock market collapse led to political tensions between generations due to the fuzzy definition of the property rights over the pension funds’ wealth. The problem is best resolved by the introduction of generational accounts. Modern consumption and portfolio theory shows that the younger...
Persistent link: https://www.econbiz.de/10011255727
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Middlemen: A Directed Search Equilibrium Approach
Watanabe, Makoto - Tinbergen Instituut - 2012
This paper studies an intermediated market operated by middlemen with high inventory holdings. I present a directed search model in which middlemen are less likely to experience a stockout because they have the advantage of inventory capacity, relative to other sellers. The model explains why...
Persistent link: https://www.econbiz.de/10011255953
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Price versus Quantity Discrimination in Optimal IPOs
Bennouri, Moez; Falconieri, Sonia - Tinbergen Instituut - 2001
This paper addresses the issue of the choice of the optimalinstrument to sell new shares, this choice being price versusquantity discrimination (rationing). Previous results in theliterature (Benveniste and Wilhelm, 1990) show that the issuing firmwould be better off if allowed to use both price...
Persistent link: https://www.econbiz.de/10011256046
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Public Initiatives to Support Entrepreneurs: Credit Guarantees versus Co-Funding
Arping, Stefan; Lóránth, Gyöngyi; Morrison, Alan - Tinbergen Instituut - 2009
We analyze financial support for the entrepreneurial sector. State support can raise welfare by relaxing financial constraints, but it can also reduce lending standards if entrepreneurs substitute public sources of collateral for their own assets, if it encourages excessive entrepreneurial...
Persistent link: https://www.econbiz.de/10011256213
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Credit Protection and Lending Relationships
Arping, Stefan - Tinbergen Instituut - 2012
We examine the impact CDS protection on lending relationships and efficiency. CDS insulate lenders against losses from forcing borrowers into default and liquidation. This improves the credibility of foreclosure threats, which can have positive implications for borrower incentives and credit...
Persistent link: https://www.econbiz.de/10011256236
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Public Initiatives to Support Entrepreneurs: Credit Guarantees versus Co-Funding
Arping, Stefan; Lóránth, Gyöngyi; Morrison, Alan - Tinbergen Institute - 2009
We analyze financial support for the entrepreneurial sector. State support can raise welfare by relaxing financial constraints, but it can also reduce lending standards if entrepreneurs substitute public sources of collateral for their own assets, if it encourages excessive entrepreneurial...
Persistent link: https://www.econbiz.de/10005136876