In diesem Beitrag wird untersucht, inwieweit Erkenntnisse des Behavioral Finance erforderlich sind, um einerseits das kundenbezogene Wertpapiergeschäft von Banken und andererseits die Preisbildung auf Kapitalmärkten zu untersuchen. Es wird dargelegt, daß das kundenbezogene Wertpapiergeschäft...

Entgegen früherer Studien, die darauf hinweisen, dass der gesamte Credit Spread eines Bonds durch das mit diesem Bond verbundene Kreditrisiko induziert ist, zeigen neuere empirische Untersuchungen, dass neben Kreditrisiken noch weitere Faktoren die Höhe des Credit Spreads determinieren. Die...

Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...

The current financial market crisis has impressively demonstrated the importance of an effective credit risk management for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised as a result of the crisis. Over the past decade, credit...

We study a search and bargaining model of an asset market, where investors' heterogeneous valuations for the asset are drawn from an arbitrary distribution. Our solution technique makes the model fully tractable and allows us to provide a full characterization of the unique equilibrium, in...

We extend Duffie, Gˆarleanu, and Pedersen’s (2005) search theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers’ valuations or inventory costs. We develop a solution technique that makes...

We extend Duffie, Garleanu, and Pedersen's (2005) search-theoretic model of over-the-counter asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations or inventory costs. We develop a solution technique that makes the model fully...

Using a model with housing search, endogenous credit constraints, and mortgage default, this paper accounts for the housing crash from 2006 to 2011 and its implications for aggregate and cross-sectional consumption during the Great Recession. Left tail shocks to labor market uncertainty and...

We study a search and bargaining model of asset markets in which investors' heterogeneous valuations for the asset are drawn from an arbitrary distribution. We present a solution technique that makes the model fully tractable, and allows us to provide a complete characterization of the unique...