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Banking stress test effects on returns and risks
Neretina, Ekaterina; Sahin, Cenkhan; Haan, Jakob de - 2014
Persistent link: https://www.econbiz.de/10010343579
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Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
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Contingent convertibles with stock price triggers : the case of perpetuities
Pennacchi, George G.; Tchistyi, Alexei - In: The review of financial studies 32 (2019) 6, pp. 2302-2340
Persistent link: https://www.econbiz.de/10012033829
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Bank Equity Risk
Dick-Nielsen, Jens; Gao, Zhuolu; Lando, David - 2023
Financial regulation has led banks to increase their equity ratios. Yet, several studies find that this has not led to a decrease in bank equity risk. We show theoretically, that keeping less capital in excess of the minimum capital requirement can outweigh the risk-reducing effect on equity of...
Persistent link: https://www.econbiz.de/10014257891
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Bailouts, the Incentive to Manage Risk, and Financial Crises
Panageas, Stavros - 2010
A firm's termination leads to bankruptcy costs. This may create an incentive for outside stakeholders or the firm's debtholders to bail out the firm as bankruptcy looms. Because of this implicit guarantee, firm shareholders have an incentive to increase volatility in order to exploit the...
Persistent link: https://www.econbiz.de/10013152555
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Bailouts, the Incentive to Manage Risk, and Financial Crises
Panageas, Stavros - 2009
A firm's termination leads to bankruptcy costs. This may create an incentive for outside stakeholders or the firm's debtholders to bail out the firm as bankruptcy looms. Because of this implicit guarantee, firm shareholders have an incentive to increase volatility in order to exploit the...
Persistent link: https://www.econbiz.de/10012463592
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Calibration of parametric CAT bonds : a case study of Mexican earthquakes
Härdle, Wolfgang; López Cabrera, Brenda - In: Schmollers Jahrbuch : journal of contextual economics 128 (2008) 4, pp. 615-630
Persistent link: https://www.econbiz.de/10003786603
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Risk Sharing & Pricing in the Reinsurance Market
Bernard, Carole - 2012
be hard to diversify. These risks can be transferred from insurers to reinsurers. We describe the reinsurance market and … discuss the demand for reinsurance. Moral hazard issues and alternative risk transfer mechanisms (securitization) are studied …. We analyze the design of reinsurance contracts from a theoretical perspective, from the earlier study of Arrow to more …
Persistent link: https://www.econbiz.de/10013096096
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Optimal reinsurance and dividend payment strategies
Pechlivanides, Pantelis - 1975
Persistent link: https://www.econbiz.de/10000629799