popular support for business-friendly policies. This can lead to long-term reductions in aggregate investment, productivity …

popular support for business-friendly policies. This can lead to long-term reductions in aggregate investment, productivity …

We analyze the determinants of a firm's ownership structure when decisions over risk are taken by majority vote of risk … and risk choices and on the relative size of blocks …

breach. Parties appear to negotiate reps consistent with the risk allocation necessary in an agreement, utilizing reps to …. These results highlight the importance of reps in risk allocation, reducing information asymmetry and creating value, but …

participants, our framework studies security repurchase agreements between risk-averse borrowers and lenders. In this manner, repo … agreements are part of an efficient risk-sharing arrangement. In turn, properties of the agreements depend on environmental … conditions such as the degree of risk aversion, default risk, and the market value of collateral. Previous work based upon risk …

The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent … generated. The second Monte Carlo simulation is the random draws based on the constant level of risk assumption. It convolutes …

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … the standard risk frameworks in CSF (Gaussian, Single Risk Factor Model; GSRFM), popular among market participants. If … implemented in a ‘static' fashion, GSRFM can substantially underprice risk at times of stress. I introduce a simple ‘dynamic …

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … the standard risk frameworks in CSF (Gaussian, Single Risk Factor Model; GSRFM), popular among market participants. If … implemented in a ‘static' fashion, GSRFM can substantially underprice risk at times of stress. I introduce a simple ‘dynamic …

important driver of macroeconomic investment. As an innovation, this paper derives the exact shape of the "hysteretic" impact of … changes in the interest rate on macroeconomic investment under the scenarios of certainty and uncertainty. We capture the … direct interest rate-hysteresis effects on investment and the capital stock and, explicitly, stochastic changes of the …

The interest rate is generally considered as an important driver of macroeconomic investment. As an innovation, this … paper derives the exact shape of the "hysteretic" impact of changes in the interest rate on macroeconomic investment under … capital stock and, explicitly, of stochastic changes on the interest rate-investment hysteresis. Starting with hysteresis …