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Competitive risk sharing contracts with one-sided commitment
Krueger, Dirk; Uhlig, Harald - 2005
given period, after having observed her income, the agent can walk away from the contract, while the intermediary cannot, i … can be provided because in an equilibrium contract an up-front payment e.ectively locks in the agent with an intermediary …. We then show that our contract economy is equivalent to a consumption-savings economy with one-period Arrow securities …
Persistent link: https://www.econbiz.de/10010298298
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Competitive risk sharing contracts with one-sided commitment
Uhlig, Harald; Krueger, Dirk - 2005
given period, after having observed her income, the agent can walk away from the contract, while the intermediary cannot, i … can be provided because in an equilibrium contract an up-front payment effectively locks in the agent with an intermediary …. We then show that our contract economy is equivalent to a consumption-savings economy with one-period Arrow securities …
Persistent link: https://www.econbiz.de/10010319185
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Why Hedge? - A Critical Review of Theory and Empirical Evidence -
Ammon, Norbert - 1998
Finance theory does not provide a comprehensive framework for explaining risk management within the imperfect financial …Der Artikel gibt einen Literaturüberblick zur Fragestellung, warum Unternehmen Risikomanagement betreiben und …
Persistent link: https://www.econbiz.de/10010297586
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Central counterparties
Koeppl, Thorsten V.; Monnet, Cyril - 2008
Central counterparties (CCPs) have increasingly become a cornerstone of financial markets infrastructure. We present a model where trades are time-critical, liquidity is limited and there is limited enforcement of trades. We show a CCP novating trades implements efficient trading behaviour. It...
Persistent link: https://www.econbiz.de/10010303758
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Value at risk, bank equity and credit risk
Broll, Udo; Wahl, Jack E. - 2003
We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...
Persistent link: https://www.econbiz.de/10010305454
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What to Do if Dollar is Not a Dollar? The Impact of Inflation Risk on Production and Risk Management
Adam-Müller, Axel F. A. - 2001
Persistent link: https://www.econbiz.de/10010324059
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The impact of delivery risk on optimal production and futures hedging
Adam-Müller, Axel F. A.; Wong, Kit Pong - 2002
Multiple delivery specifications exist on nearly all commodity futures contracts. Sellers are typically allowed to choose among several grades of the underlying commodity. On the delivery day, the futures price converges to the spot price of the cheapest-to-deliver grade rather than to that of...
Persistent link: https://www.econbiz.de/10010324071
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On the Variation of Hedging Decisions in Daily Currency Risk Management
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 2001
Internationally operating firrns naturally face the decision whether or not to hedge the currencyrisk implied by foreign investments. In a recent paper, Bos, Mahieu and van Dijk (2000) evaluatethe returns from optimal and alternative currency hedging strategies, for a series of 7 models,using...
Persistent link: https://www.econbiz.de/10010325077
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Risk Communication and public perception of technological hazards. First Volume
Recchia, Virginia - 1999
Research on risk communication relates basic risk perception studies to the formulation of policies, the currently evolving legislation dealing with hazards, the key issues of public involvement, the risk and environmental management. Risk communication is a relatively new field based on a...
Persistent link: https://www.econbiz.de/10011608544
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The Store-of-Value-Function of Money as a Component of Household Risk Management
Größl, Ingrid; Fritsche, Ulrich - 2007
We analyse how money as a store of value affects the decisions of a representative household under diversifiable and non-diversifiable risks given that the central bank successfully stabilizes the rate of inflation at a low level. Assuming exponential utility allows us to derive an explicit...
Persistent link: https://www.econbiz.de/10010273728