We analyze the pricing of risky income streams in a world with competitive security markets where investors are constrained by restrictions on possible portfolio holdings. We investigate how we can transfer concepts and pricing techniques from a world without frictions to such a more realistic...

In this paper we suggest a new approach to risk assessment for banks. Rather than looking at them individually we try to undertake an analysis at the level of the banking system. Such a perspective is necessary because the complicated network of mutual credit obligations can make the actual risk...

The ongoing initiatives to offer central bank money to consumers in the form of retail central bank digital currency (CBDC) have triggered discussions on its optimal design. So far, the perspective of potential users has not been considered widely. To strengthen this perspective, we survey 2006...

This paper analyses Czech and Hungarian index options that are traded on the Austrian Futures and Options Exchange. We find that the Poisson jump-diffusion and not the GARCH (1,1) process lends statistical support for the data description. We estimate that approximately four-fifth of 4 percent...

Using data from the Vienna Stock Exchange we investigate three different types of consumption based capital asset pricing models: the well known two state model of Mehra and Prescott, the model of Rietz, which includes also a crash state, and an own four state model. The aim of this Vienna Stock...

We investigate the role of competition on the outcome of Austrian Treasury auctions. EU accession by Austria provides a natural experiment causing an exogenous increase in the number of bidders in Treasury Auctions. Difference-in-difference estimates suggest that the increased number in bidders...

We investigate the role of competition on the outcome of Austrian Treasury auctions. Austria's EU accession led to an increase in the number of banks participating in treasury auctions. We use structural estimates of bidders' private values to examine the effect of increased competition on...

We investigate the role of competition on the outcome of Austrian Treasury auctions. Austria's EU accession led to an increase in the number of banks participating in treasury auctions. We use structural estimates of bidders' private values to examine the effect of increased competition on...

I discuss a network of banks which are linked with each other by financial obligations and cross holdings. Given an initial endowment the value of the obligations and the equity values of the banks are determined endogenously in a way consistent with the priority of debt and the limited...

New methods to test whether a time series is i.i.d. are proposed in a recent series of papers (Matilla-García [2007], Matilla-García and Marín [2008], Matilla-García and Marín [2009], and Matilla-García et al. [2010]). The main idea is to map m-histories of a time series onto elements of...