In this report we discuss the factors driving the growth of the global financial sector that are considered by many authors (e.g. Toporowski,1999 and Orhangazi, 2008) to have precipitated the financial crisis of 2007-2008. Our analysis focuses on the behavior of the different types of financial...

With a sample of twelve US bond indices spanning different maturities, credit ratings and industry sectors, we investigate the impact of new bank capital regulation for trading portfolios introduced by Basel III. Specifically, we estimate the new capital requirements for (a) liquidity risk and...

Much attention has been paid to the large decreases in value of non-agency residential mortgage-backed securities (RMBS) during the financial crisis. Many observers have argued that the fall in prices was partly driven by decreased liquidity and fire sales. We investigate whether capital...

Mutual insurance companies and stock insurance companies are different forms of organized risk sharing: policyholders and owners are two distinct groups in a stock insurer, while they are one and the same in a mutual. This distinction is relevant to raising capital, selling policies, and sharing...

The purpose of this report is to analyse the structure of ownership in the financial sector in the selected old (France, Germany, Greece, Italy, Sweden, the United Kingdom) and new (the Czech Republic, Hungary, Poland) EU Member States. This subject is particularly important to the proper...

Cette analyse a pour objectif de présenter les enjeux de la réassurance en France en se concentrant, au travers de deux exercices de stress tests distincts, sur le risque de contrepartie généré par les cessions de provisions. Les données réglementaires permettent la détermination d’un...

The solvency issue of life insurance companies has become more important in recent years as business risks turn increasingly greater. This study examines the relationship among investing risk, underwriting risk, and the capital ratio during the post risk-based capital regulation period of...

In this paper we focus on financial innovations that have emerged as a result of the convergence of the capital market and insurance market. These new solutions called Insurance-Linked Securities (ILS) were created in 1990s. by insurers and reinsurers in order to improve the liquidity of...

Certain commodity producers face uncertain output and price, but can trade financial derivatives on price. I consider how best to use a put option on price. I introduce the variance surface, which is a data visualization technique that shows the level of variance across a grid of values for the...

This paper reviews the state of the banking sector in Europe. At the aggregate level, the empirical data suggest that the Baltics, Cyprus, Greece and Ireland, in particular, are hit by a strong decline in lending in the wake of the financial crisis. This deleveraging is mainly caused by a...