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Risk allocation under liquidity constraints
Csóka, Péter; Herings, Peter Jean-Jacques - 2014
Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … financial entity may have to liquidate part of its assets, which is costly. The definition of a risk allocation game under …
Persistent link: https://www.econbiz.de/10010350439
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Measuring the origins of macroeconomic uncertainty
Mumtaz, Haroon - 2018
This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...
Persistent link: https://www.econbiz.de/10011895010
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Market allocations under ambiguity : a survey
Billot, Antoine; Mukerji, Sujoy; Tallon, Jean-Marc - 2019
We review some of the (theoretical) economic implications of David Schmeidler's models of decision under uncertainty (Choquet expected utility and maxmin expected utility) in competitive market settings. We start with the portfolio inertia result of Dow and Werlang (1992), show how it does or...
Persistent link: https://www.econbiz.de/10012121980
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Using revenue sharing for higher risk and return business ventures in microfinance : an experimental study
Clark, Jeremy; Spraggon, John - 2020 - Revision
Persistent link: https://www.econbiz.de/10012426550
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Market allocations under ambiguity : a survey
Billot, Antoine; Tallon, Jean-Marc; Mukerji, Sujoy - 2019
Persistent link: https://www.econbiz.de/10012233248
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A multidimensional approach to measuring economic insecurity : the case of Chile
Prieto, Joaquin - 2021
Persistent link: https://www.econbiz.de/10012793017
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Systematic systemic stress tests
Breuer, Thomas; Summer, Martin - 2018
Persistent link: https://www.econbiz.de/10011984002
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Systemic tail risk: high-frequency measurement, evidence and implications
Erdemlioglu, Deniz; Neely, Christopher J.; Yang, Xiye - 2023
Persistent link: https://www.econbiz.de/10014320683
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Measuring macroeconomic uncertainty during the euro's lifetime
Grzegorczyk, Monika; Papadia, Francesco - 2022
It is a cliché in official economic institutions' publications and their leaders' speeches to lament exceptional uncertainty. The complaint does, however, ring true currently. A solid empirical basis should be given to this view by properly measuring macroeconomic uncertainty. To measure...
Persistent link: https://www.econbiz.de/10013373115
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Central Bank behavior and credibility : some recent developments
Cukierman, Alex - 1986
Persistent link: https://www.econbiz.de/10003520397