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Risk and the role of collateral in debt renegotiation
Neus, Werner; Stadler, Manfred - 2011
In his basic model of debt renegotiation, BESTER [1994] argues that collateral is more effective if high risk projects … are financed. This result, however, crucially depends on the definition of risk. Using the second-order stochastic … dominance criterion introduced by ROTHSCHILD AND STIGLITZ [1970], we show that it is not a project's high risk, induced by a …
Persistent link: https://www.econbiz.de/10010305873
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Skewness preferences and asset selection: An experimental study
Bruenner, Tobias; Levinsk´y, Rene; Qiu, Jianying - 2009
In this paper we experimentally test skewness preferences at the individual level. Several prospects that can be ordered with respect to the third-degree stochastic dominance (3SD) criterion are ranked by the participants of the experiment. We find that the skewness of a distribution has a...
Persistent link: https://www.econbiz.de/10010294775
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A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics … system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that "a number of weaknesses have been … identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk" (p. 3 …
Persistent link: https://www.econbiz.de/10011288403
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Nonparametric Tests for Common Values in First-Price Sealed-Bid Auctions
Haile, Philip A.; Hong, Han; Shum, Matthew - 2004
We develop tests for common values at first-price sealed-bid auctions. Our tests are nonparametric, require observation only of the bids submitted at each auction, and are based on the fact that the "winner's curse" arises only in common values auctions. The tests build on recently developed...
Persistent link: https://www.econbiz.de/10011325023
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Stocks, bonds and the investment horizon: A spatial dominance approach
Ibarra-Ramírez, Raúl - 2011
Financial advisors typically recommend that a long-term investor should hold a higher percentage of his wealth in stocks than a short-term investor. However, part of the academic literature disagrees with this advice. We use a spatial dominance test which is suited for comparing alternative...
Persistent link: https://www.econbiz.de/10010322602
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Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
Lean, Hooi Hooi; McAleer, Michael - 2013
This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean … and futures markets. However, the SD tests show that spot dominates futures in the downside risk, while futures dominate … spot in the upside profit. On the other hand, the SD findings suggest that spot dominates futures in downside risk, while …
Persistent link: https://www.econbiz.de/10010326252
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The median as watershed
Aaberge, Rolf; Atkinson, Anthony B. - 2013
This paper is concerned with concepts - poverty, inequality, affluence, and polarization - that are typically treated in different literatures. Our aim here is to place them within a common framework and to identify the way in which different classes of income transfers contribute to different...
Persistent link: https://www.econbiz.de/10011968519
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A theory for ranking distribution functions
Aaberge, Rolf; Havnes, Tarjei; Mogstad, Magne - 2013
When is one distribution (of income, consumption, or some other economic variable) more equal or better than another? This question has proven difficult to answer in situations where distribution functions intersect and no unambiguous ranking can be attained without introducing weaker criteria...
Persistent link: https://www.econbiz.de/10011968533
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Why did Warrant Markets Close in China but not Taiwan?
Wong, Wing-Keung; Lean, Hooi Hoi; McAleer, Michael; … - 2018
for China and Taiwan warrants are not efficient, and second- and third-order risk averters prefer to invest in China …
Persistent link: https://www.econbiz.de/10011932322
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Apportioning of risks via stochastic dominance
Eeckhoudt, Louis; Schlesinger, Harris; Tsetlin, Ilia - 2008
Consider a simple two-state risk with equal probabilities for the two states. In particular, assume that the random … way, we can extend and generalize existing results about risk attitudes. This lottery preference includes behavior … exhibiting higher order risk effects, such as precautionary effects and tempering effects. …
Persistent link: https://www.econbiz.de/10010264492