We investigate the relationship between credit rating events and credit default swap spreads for EU countries around the Subprime and European Debt Crises. Using event studies and OLS regressions we analyse the behavior of CDS spreads before, around and after credit rating events. Our results...

We develop a model in which banks bid for liquidity provided by the central bank in fixed and variable rate auctions, considering liquidity injections and extractions as well as the impact of a subsequent interbank market. We derive the equilibrium demands of banks establishing the prevalence of...

This paper develops a model of interbank lending based on liquidity and profitability considerations of homogeneous banks. We derive the reservation prices of interbank lending and its properties before exploring how, due to an idiosyncratic liquidity shock, banks engage in bilateral lending to...

I demonstrate that with the market return determined by the equilibrium returns of the CAPM, expected returns of an asset are affected by the risks of all assets jointly. Another implication is that the range of feasible market returns will be limited and dependent on the distribution of weights...

In this paper we use the Generalised Population Based Incremental Learning (GPBIL) in order to found profit-maximizing strategies for the Artificial Payment Card Market (APCM). The artificial market has modeled explicitly a multidimensional consumers' and merchants' demand for payment...

We develop an agent-based model of the competition between payment cards by focusing on the interactions between consumers and merchants determining the subscription and usage of cards. We find that after a short period of time the market will be dominated by a small number of cards, even though...

This chapter introduces an artificial payment card market in which we model the interactions between consumers, merchants and competing card issuers with the aim of determining the optimal pricing structure for card issuers. We allow card issuers to charge consumers and merchants fixed fees,...

This paper investigates the market structure of the payment card market with consumers and merchants basing their subscription decisions on various information sets.We find that the market structure depends crucially on this information set, where we observe that a market with few cards...