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Persistent link: https://www.econbiz.de/10011722257
Financial intermediaries often provide guarantees that resemble out-of-the-money put options, exposing them to tail risk. Using the U.S. life insurance industry as a laboratory, we present a model in which variable annuity (VA) guarantees and associated hedging operate within the regulatory...
Persistent link: https://www.econbiz.de/10011984858
Persistent link: https://www.econbiz.de/10010459863
We provide evidence on how banks form network connections and endogenous risk-taking in their non-bank counterparty choices in the OTC derivative markets. We use confidential regulatory data from the Capital Assessment and Stress Testing reports that provide counterparty-level data across a wide...
Persistent link: https://www.econbiz.de/10013219258
One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting. Many have proposed the use of historical cost accounting, promoting its ability to avoid the amplification of systemic risk. We caution against...
Persistent link: https://www.econbiz.de/10013063916
Persistent link: https://www.econbiz.de/10011915679
Financial intermediaries often provide guarantees that resemble out-of-the-money put options, exposing them to tail risk. Using the U.S. life insurance industry as a laboratory, we present a model in which variable annuity (VA) guarantees and associated hedging operate within the regulatory...
Persistent link: https://www.econbiz.de/10011978571
One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting. Many have proposed the use of historical cost accounting, promoting its ability to avoid the amplification of systemic risk. We caution against...
Persistent link: https://www.econbiz.de/10011171756
Persistent link: https://www.econbiz.de/10012602258