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or long-term unemployment, may occur during working years. Personal disaster risk alters lifetime ex-ante investment … characterizes rare disasters, results in lower risk-taking at the beginning of working life, and is crucial in order to match the …
Persistent link: https://www.econbiz.de/10012793436
Mutual fund risk-taking via active portfolio rebalancing varies both in the crosssection and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …
Persistent link: https://www.econbiz.de/10012622826
Macro-based asset allocation, i.e., the identification of turning points in macro-financial cycles and the allocation of assets accordingly, has attracted a lot of interest in recent years. This interest was sparked by volatile financial markets, more synchronized returns across asset classes...
Persistent link: https://www.econbiz.de/10012152009
We study optimal capital requirement regulation in a dynamic quantitative model in which nonfinancial firms, as well as households, hold deposits. Firms hold deposits for precautionary reasons and to facilitate the acquisition of production inputs. Our theoretical analysis identifies a novel...
Persistent link: https://www.econbiz.de/10012132611
Persistent link: https://www.econbiz.de/10003706951
Persistent link: https://www.econbiz.de/10013445867
This paper examines the investment behavior of different financial institutions in debt securities with a particular focus on their response to price changes. For identification, we use security-level data from the German Microdatabase Securities Holdings Statistics. Our results suggest that...
Persistent link: https://www.econbiz.de/10011975050
risk. Using the U.S. life insurance industry as a laboratory, we present a model in which variable annuity (VA) guarantees …
Persistent link: https://www.econbiz.de/10011978571
This paper contrasts the investment behavior of different financial institutions in debt securities as a response to past returns. For identification, I use unique security-level data from the German Micro-database Securities Holdings Statistics. Banks and investment funds respond in a...
Persistent link: https://www.econbiz.de/10011978714
capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they … versa. Funds more exposed to negative yields increase their risk-taking more strongly, and this effect is particularly …
Persistent link: https://www.econbiz.de/10012485994