On 23 June 2010, the Magyar Nemzeti Bank and SUERF jointly organised a conference on "The Future of Banking in CESEE after the Financial Crisis", incorporating the SUERF Annual Lecture, delivered by Manfred Schepers, Vice President, Finance at the European Bank for Reconstruction and...

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. When capital raising is costly, poorly...

Variations in fine wine prices can be prominent and have widespread economic and financial implications. Although fine wine investments are dominated by French wines, we demonstrate that significant international diversification benefits exist for investors in Italian, Australian and Portuguese...

The Global Financial Crisis had a severe impact on the commodity markets on top of the well-known effects on the worldwide economy. Not only the demand for commodities decreased severely thereby hurting the creditworthiness of participants in the wholesale commodity markets, but also the...

Export Credit Guarantee Corporation of India Limited, (ECGC) is a company wholly owned by the Government of India. It functions under the administrative control of the Ministry of Commerce and is managed by a Board of Directors representing Government, Banking, Insurance, Trade and Industry...

Using a large sample of non-financial firms from 47 countries, we examine the effect of derivative use on firm risk and value. We control for endogeneity by matching users and nonusers on the basis of their propensity to use derivatives. We also use a new technique to estimate the effect of...

We use a factor model and elastic net shrinkage to model a high-dimensional network of European CDS spreads. Our empirical approach allows us to assess the joint transmission of bank and sovereign risk to the non-financial corporate sector. Our findings identify a sectoral clustering in the CDS...

To avert the impending global Cyber-Finance Insurance Crisis based upon large-scale commercial reliance upon quantitative models with inherent model risks, tail risks, and systemic risks in current form, this post-doctoral thesis makes the following key contributions: Develops the first known...

In response to the recent severe financial crisis and the worst recession since the Great Depression, the U.S. Congress enacted and President Obama signed into law the Dodd-Frank Wall Street Reform and Consumer Protection Act (DFA) in July 2010. An important objective of DFA is to mitigate the...