We adapt structural models of default risk to take into account the special nature of bank assets. The usual assumption of log-normally distributed asset values is not appropriate for banks. Typical bank assets are risky debt claims, which implies that they embed a short put option on the...

It is widely accepted in word-of-mouth (WOM) research that weak ties have a greater macro-level impact than strong ties on the spread of WOM and that marketers should thus intentionally stimulate WOM between weak ties to optimize a given WOM campaign. Here, we challenge this idea based on the...

The development of network technology has prompted the gradual rise of lending platforms, which not only meet the borrowing needs of the long-tail population, but also provide new investment methods for investors with idle funds. However, behind the rapid development of P2P online lending is...

Sponsored search advertising has grown rapidly since the last decade and is now a significant revenue source for search engines. To ameliorate revenues, search engines often set fixed or variable reserve price to in influence advertisers' bidding. This paper studies and compares two pricing...

We extend a standard two-person, non-cooperative, non-zero sum, imperfect inspection game, considering a large population of interacting inspectees and a single inspector. Each inspectee adopts one strategy, within a finite/infinite bounded set of strategies returning increasingly illegal...

We examine the properties of a method for fixing Libor rates that is based on transactions data and multi-day sampling windows. The use of a sampling window may mitigate problems caused by thin transaction volumes in unsecured wholesale term funding markets. Using two partial data sets of loan...

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers into several key components, including the “velocity...

The Federal Reserve's "balance-sheet normalization," which reduced aggregate reserves between 2017 and September 2019, increased repo rate distortions, the severity of rate spikes, and intraday payment timing stresses, culminating with a significant disruption in Treasury repo markets in...

Before the era of large central bank balance sheets, banks relied on incoming payments to fund outgoing payments in order to conserve scarce liquidity. Even in the era of large central bank balance sheets, rather than funding payments with abundant reserve balances, we show that outgoing...

Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated debtoverhang cost to bank shareholders. Until 2022, this impact was reduced by linking the interest...