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The subject of the present paper is a simplified model for a symmetric bistable system with memory or delay, the reference model, which in the presence of noise exhibits a phenomenon similar to what is known as stochastic resonance. The reference model is given by a one dimensional parametrized...
Persistent link: https://www.econbiz.de/10005677968
This paper analyzes the effect of the removal of government guarantees on bank risk taking. We exploit the removal of guarantees for German Landesbanken which results in lower credit ratings, higher funding costs, and a loss in franchise value. This removal was announced in 2001, but...
Persistent link: https://www.econbiz.de/10010778585
Staaten gewähren Banken oft Garantien, um den Zusammenbruch des Finanzsystems zu verhindern. Diese Garantien müssen aber sobald wie möglich wieder zurückgenommen werden. Zuvor sollten jedoch die möglichen Auswirkungen der Abschaffung einer Garantie untersucht werden. Die so gewonnenen...
Persistent link: https://www.econbiz.de/10010877437
This paper analyzes the effect of the removal of government guarantees on bank risk taking. We exploit the removal of guarantees for German Landesbanken which results in lower credit ratings, higher funding costs, and a loss in franchise value. This removal was announced in 2001, but...
Persistent link: https://www.econbiz.de/10010752789
Persistent link: https://www.econbiz.de/10005010724
Persistent link: https://www.econbiz.de/10005011306
Up until the appearance of early insurance, fi nancial relief for victims of natural hazards was characterised by two facts: First, private support to victims was provided on a purely voluntary basis. Second, help was only given after an extreme event had happened. "Charity" of this sort was...
Persistent link: https://www.econbiz.de/10005089662
As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretizing time and space. A new feature in this context is to allow for delay in the dynamics. The existence of an optimal...
Persistent link: https://www.econbiz.de/10005652753
In this paper we consider a market driven by a Wiener process where there is an insider and a regular trader. The insider has privileged information which has been deformed by an independent noise vanishing as the revelation time approaches. At this time, the information of every trader is the...
Persistent link: https://www.econbiz.de/10005390658
We consider financial markets with agents exposed to an external source of risk which cannot be hedged through investments on the capital market alone. The sources of risk we think of may be weather and climate. Therefore we face a typical example of an incomplete financial market. We design a...
Persistent link: https://www.econbiz.de/10004971794