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Non-Equilibrium Skewness, Market Crises, and Option Pricing : Non-Linear Langevin Model of Markets with Supersymmetry
Halperin, Igor - 2021
This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM)...
Persistent link: https://www.econbiz.de/10013251128
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World Financial Crisis and the Rise of Chinese Commercial Banks
Luo, Dan - 2009
The current financial crisis hit the banking giants of the world really hard. It is striking to note that some of the large Chinese commercial banks have emerged to be the biggest winners as a result of the crisis thanks to reforms over the last 10 years. The most significant reform before the...
Persistent link: https://www.econbiz.de/10013157133
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Foreign Bank Diversification and Efficiency Prior to and During the Financial Crisis : Does One Business Model Fit All?
Curi, Claudia - 2016
Diversified and focused business models may affect foreign bank efficiency differently. We investigate whether there is an optimal business model along three business dimensions—assets, funding and income—and which business model is optimal for foreign banks in a financial center. We apply...
Persistent link: https://www.econbiz.de/10012983088
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Liquidity regulation, the Central Bank, and the money market : conference paper
Scheubel, Beatrice; Körding, Julia - 2013 - This version: 15 February 2013
crisis, recent advances in global liquidity regulation try to curb the excessive reliance on short-term wholesale funding … regulation may interfere with the central bank's influence on short-term money market rates. This paper tries to fill the gap in … asymmetric information. Regulation can be welfare-improving in the presence of an externality and also in case of collateral …
Persistent link: https://www.econbiz.de/10010342820
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Crisis Severity and the International Trade Network
Valentinyine Endresz, Marianna - 2017
In this paper we analyse the role of the international trade network for the strength of the global recession across countries. The novelty of our paper is the use of value-added trade data to capture the importance of trade network structure. We estimate with BMA techniques how far network...
Persistent link: https://www.econbiz.de/10012965544
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The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models
Kuryłek, Wojciech - In: Journal of banking and financial economics 19 (2023) 1, pp. 26-43
The proper forecasting of listed companies' earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of...
Persistent link: https://www.econbiz.de/10014285928
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Foolish Revenge or Shrewd Regulation? Financial-Industry Tax Law Reforms Proposed in the Wake of the Financial Crisis
Page, Richard T. - 2010
This Comment evaluates four recent proposals to reform tax laws affecting the financial industry. After introducing the proposals, the author provides a theoretical framework for evaluating them and then relies on this framework to explore the benefits and drawbacks of each. Ultimately, the...
Persistent link: https://www.econbiz.de/10013135154
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Dampening Financial Regulatory Cycles
McDonnell, Brett - 2013
Financial regulation should be countercyclical, strengthening during speculative booms to contain excessive leverage … and loosening following crises so as to not limit credit extension in hard times. And yet, financial regulation in fact … choice perspective on financial regulation, i.e. rational choice ideas drawn from economics and applied to politics, but with …
Persistent link: https://www.econbiz.de/10013086761
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Financial Regulation and the Current Crisis : A Guide for the Antitrust Community
White, Lawrence J. - 2009
will offer a guide to the antitrust community that will cover the U.S. financial sector, financial regulation, and the … debacle and subsequent financial crisis. The tensions that can arise between financial regulation and antitrust will be … market power. Although much progress has been made in removing anticompetitive elements from financial regulation over the …
Persistent link: https://www.econbiz.de/10013158068
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Financial Regulation for a Better Society
Sunder, Shyam - 2017
The benefits of top down financial reporting regulation over the past eight decades are less obvious than its failures …
Persistent link: https://www.econbiz.de/10012954874