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The new Basel accord and the nature of risk : a game theoretic perspective
Bieta, Volker; Broll, Udo; Milde, Hellmuth; Siebe, Wilfried - 2007
- game theory is a useful set of tools for better understanding different risk settings. Embedded in a short history of the … Basel Accord in this article we introduce some basic ideas of game theory in the context of rating procedures in accordance … with Basel II. As well, some insight is given how game theory works. Here, the primary value of game theory stems from its …
Persistent link: https://www.econbiz.de/10003481314
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Hedging of exchange rate risk and regression dependence
Broll, Udo; Kit, Pong Wong - 1997
Persistent link: https://www.econbiz.de/10000646869
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Hedging of exchange rate risk and regression dependence
Broll, Udo; Kit, Pong Wong - 1997
The paper presents a model of a risk-averse exporting firm under exchange rate risk. We focus on the economic implications of basis risk. It is shown that the regression dependence assumptions between spot and futures exchange rates are essential in analyzing optimal hedging and export...
Persistent link: https://www.econbiz.de/10009623408
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Spatial allocation of capital : the role of risk preferences
Broll, Udo; Roldán-Ponce, Antonio; Wahl, Jack E. - In: Spatial economic analysis : the journal of the Regional … 5 (2010) 4, pp. 389-398
Persistent link: https://www.econbiz.de/10009159594
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Spatial allocation of capital : the role of risk preferences
Broll, Udo; Roldán-Ponce, Antoni; Wahl, Jack E. - 2010
This paper considers a model of spatial allocation of investment capital under uncertainty. We demonstrate that the spatial concentration of economic activity depends upon properties of risk preferences deeper than risk aversion. The degree of so-called relative prudence unambiguously decides...
Persistent link: https://www.econbiz.de/10003971025
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Risk sharing markets and hedging a loan portfolio: a note
Broll, Udo; Guo, Xu; Welzel, Peter - In: Economics and business review 3 (2017) 4, pp. 47-54
Persistent link: https://www.econbiz.de/10011795807
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Transparency in the interbank market and the volume of bank intermediated loans
Broll, Udo (contributor); Eckwert, Bernhard (contributor) - 2004
In this paper we study the impact of more transparency in the interbank market on the volume of bank intermediated loans and on the profitability of the banking business. Transparency is modeled by means of the informational content of publicly observable signals correlated to the random...
Persistent link: https://www.econbiz.de/10002533697
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Transparency in the banking sector
Broll, Udo; Eckwert, Bernhard; Eickhoff, Andreas - 2011
The paper revisits the impact of uncertainty on the decision problem of a bank. The bank extends risky loans to private investors and sells deposits to savers at fixed rates. The uncertainty under which deposit/loan-portfolios are chosen by banks is endogenized through an information system that...
Persistent link: https://www.econbiz.de/10009425842
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Financial intermediation and endogenous risk in the banking sector
Broll, Udo; Eckwert, Bernhard; Eickhoff, Andreas - In: Economic modelling 29 (2012) 5, pp. 1618-1622
Persistent link: https://www.econbiz.de/10009667178
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Transparency in the interbank market and the volume of bank intermediated loans
Broll, Udo; Eckwert, Bernhard - In: International journal of economic theory 2 (2006) 2, pp. 123-133
Persistent link: https://www.econbiz.de/10003350602