Many owners of growing privately-held firms make operational and financial decisions in an effort to maximize the expected present value of the proceeds from an Initial Public Offering (IPO). We ask: What is the right time to make an IPO and How should operational and financial decisions be...

This article builds a new structural default model under the assumption that assets returns follow dynamics displaying jumps of both signs. In essence, we expand the work of Hilberink and Rogers which is itself an extension of the Leland and Toft framework, but that deals only with negative...

Energietransitie vraagt om bezinning op regulering De energiesector staat voor grote veranderingen. Door geleidelijke uitputting van binnenlandse gasvoorraden, de noodzaak om fossiele energiebronnen te vervangen door duurzame bronnen en de nodige vervanging van verouderde netwerkonderdelen, zal...

In this paper we analyse the impact of the regulatory framework for the new regulatory period (2011 – 2013) on the long-term profitability of TenneT TSO, the operator of the highvoltage electricity network in the Netherlands. Long-term profitability is a key component of the financeability of...

Empirical findings and theoretical studies suggest that firms adjust towards time-varying target leverage ratios. This paper studies the performances of the default probabilities generated from two stationaryleverage models with time-dependent and constant target ratios respectively. The...

Stress tests with handpicked scenarios might misrepresent risks either because dangerous scenarios are not considered or because the scenarios considered are too implausible. To overcome these two pitfalls we propose a systematic search for the worst case within a relative entropy ball of...

This article provides a generalized two-firm model of default correlation, based on the structural approach that incorporates interest rate risk. In most structural models default is driven by the firms' asset dynamics. In this article, a two-firm model of default is instead driven by the...

Risk-based allocation strategies, also known as Smart Beta allocations, define the weights of assets in portfolios as functions of the individual and common asset risk. In this paper we focus on the Minimum Variance (MV), Maximum Diversification (MD), Equal Risk Contribution (ERC) and...

One of the main concern and regulatory topic financial institutions have to deal with is the model risk. Senior managers tend to consider more and more model risk as one of the highest exposure a financial institution has (as illustrated by the lastest EBA paper related to Advanced Measurement...

Dans ce papier, nous proposons d’évaluer les scores d’efficience productive de vingt banques commerciales tunisiennes tout au long de la période s’étalant de 1990 à 2009. Le paysage bancaire local a été marqué, au cours de la période étudiée, par des changements importants suite...