The paper analyzes the sensitivity of the downside risk of a standard derivatives portfolio to a change in the mean-reversion level of its underlyings. From Monte-Carlo simulation, it is found that the higher the intensity of mean-reversion, the lower the probability of reaching a predetermined...

We consider a particular concept of accuracy of predictions, and we develop a class of non-parametric, spectral density tests capable of deciding whether a given random variable can predict a time series. Under standard assumptions, we show that those tests are consistent, robust and admissible....

In a model that encompasses a general equilibrium framework, we consider a monopolist (a producer) with subjective beliefs that endogenously hedges against fluctuations in input prices in a complete market. We allow for entries and Cournot competition in this economy, and we study how erroneous...

We consider IPO issuances as multi-units auctions, where privately informed bidders are risk-averse. At the optimal IPO and fixed-price auctions, we show that when individual beliefs about the valuation of the shares increase in the sense of either first-order or second order stochastic...

We argue that the recent large drops in households' savings in developing countries with high HIV/AIDS prevalence is associated with the spread of the disease. We also argue that the need to pay for individual treatments force large-scale withdrawals of households deposits, and that those large...

We analyze the sensitivity of the downside risk of a standard derivatives' portfolio to a change of the mean-reversion level of its underlyings. In a Monte-Carlo simulation, we find that the higher the intensity of mean-reversion, the lower the probability of reaching a pre-determined loss...

We develop a Neo-Classical growth model with habit formation to exhibit an equilibrium non-linear relationship between aggregate consumption growth and income growth. We provide empirical evidence consistent with this relationship both for the U.S. and France, and we estimate this non-linear...

Derivatives are at the very heart of the recent financial disasters, and the surveillance of their downside risk is of paramount importance both to practitioners and regulators. We survey and present original managerial methods to efficiently control the downside risk of derivatives portfolios....

We simulate the Dynamic Stochastic General Equilibrium model of Mehra-Prescott [9] to establish the link between the anticipation of endowment drops (for instance a recession) and sudden market crashes. Contrary to the commonly accepted view that those crashes are solely driven by large drops in...

We argue that the recent large drops in households' savings in developing countries with high HIV/AIDS prevalence is associated with the spread of the disease. We also argue that the need to pay for individual treatments force large-scale withdrawals of households deposits, and that those large...