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Actuarial geometry
Mildenhall, Stephen J. - In: Risks 5 (2017) 2, pp. 1-44
The literature on capital allocation is biased towards an asset modeling framework rather than an actuarial framework. The asset modeling framework leads to the proliferation of inappropriate assumptions about the effect of insurance line of business growth on aggregate loss distributions. This...
Persistent link: https://www.econbiz.de/10011996651
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The Solvency II Standard Formula, linear geometry, and diversification
Paulusch, Joachim - In: Journal of Risk and Financial Management 10 (2017) 2, pp. 1-12
framework given by the Solvency II Standard Formula. This gives rise to the definition of diversification functions, which we … define as monotone, subadditive, and homogeneous functions on a convex cone. Diversification functions constitute a class of … models for the study of the aggregation of risk and diversification. The aggregation of risk measures using a diversification …
Persistent link: https://www.econbiz.de/10011843289
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Banking globalization, monetary transmission and the lending channel
Cetorelli, Nicola; Goldberg, Linda S. - 2008
The globalization of banking in the United States is influencing the monetary transmission mechanism both domestically and in foreign markets. Using quarterly information from all U.S. banks filing call reports between 1980 and 2005, we find evidence for the lending channel for monetary policy...
Persistent link: https://www.econbiz.de/10010298734
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Monetary Policy under the Microscope: Intra-bank Transmission of Asset Purchase Programs of the ECB
Cycon, Lisa; Koetter, Michael - 2015
With a unique loan portfolio maintained by a top-20 universal bank in Germany, this study tests whether unconventional monetary policy by the European Central Bank (ECB) reduced corporate borrowing costs. We decompose corporate lending rates into refinancing costs, as determined by money...
Persistent link: https://www.econbiz.de/10011319155
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Banking globalization, transmission, and monetary policy autonomy
Goldberg, Linda S. - 2013
International financial linkages, particularly through global bank flows, generate important questions about the consequences for economic and financial stability, including the ability of countries to conduct autonomous monetary policy. I address the monetary autonomy issue in the context of...
Persistent link: https://www.econbiz.de/10010333575
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When is FDI a Capital Flow?
Marin, Dalia; Schnitzer, Monika - 2006
In this paper we analyze the conditions under which a foreign direct investment (FDI) involves a net capital flow across countries. Frequently, foreign direct investment is financed in the host country without an international capital movement. We develop a model in which the optimal choice of...
Persistent link: https://www.econbiz.de/10010333841
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Creditor Rights and Debt Allocation within Multinationals
Akbel, Basak; Schnitzer, Monika - 2009
We analyze the optimal debt structure of multinational corporations choosing between centralized or decentralized borrowing. We identify how this choice is affected by creditor rights and bankruptcy costs, taking into account managerial incentives and coinsurance considerations. We find that...
Persistent link: https://www.econbiz.de/10010334120
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The effect of investing abroad on investment at home: On the role of technology, tax savings, and internal capital markets
Goldbach, Stefan; Nagengast, Arne J.; Steinmüller, Elias; … - 2017
This paper examines the relationship between foreign and domestic investment activity of multinational enterprises. The empirical analysis is based on micro data of German firms and their operations at home and abroad, including information on investment in fixed assets. The empirical approach,...
Persistent link: https://www.econbiz.de/10011649430
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Do Firms Mitigate or Magnify Capital Misallocation? Evidence from Planet-Level Data
Kehrig, Matthias; Vincent, Nicolas - 2017
Almost two thirds of the cross-plant dispersion in marginal revenue products of capital occurs across plants within the same firm rather than between firms. Even though firms allocate invest- ment very differently across their plants, they do not equalize marginal revenue products across their...
Persistent link: https://www.econbiz.de/10011657122
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Reallocation of Capital and Labor within Firms
Mueller, Holger - In: Swiss Journal of Economics and Statistics 152 (2016) 4, pp. 289-303
Understanding how internal capital and labor markets function sheds light on one of the most fundamental questions in economics: what determines the boundaries of the firm? This essay reviews the theoretical and empirical literature on internal capital markets and firm boundaries, focusing in...
Persistent link: https://www.econbiz.de/10011933346