In this paper we analyze the relationship between Jacks-of-all-trades (JAT) and their cognitive and non-cognitive skills using a sample of entrepreneurs. Extending Lazear's work, we develop a complementary measure for broad skills. By comparing both measures, we find two distinct types of...

The financial performance of governments in issuing debt is an open empirical question. We develop performance measures for the decisions debt management offices (DMOs) face: The amount to issue is largely exogenous to them, but they determine its distribution across issue dates (timing) and the...

In this paper we value a callable snowball floater, a complex interest rate instrument with variable coupon payments, which depend on the prevailing interest rates in arrears and recursively on previous coupon payments. The embedded option requires solving an optimal stopping problem using the...

This paper evaluates the labor market effects of sick pay mandates in the United States. Using the National Compensation Survey and difference-in-differences models, we estimate their impact on coverage rates, sick leave use, labor costs, and non-mandated fringe benefits. Sick pay mandates...

The validation of credit rating systems has recently attracted particular interest both from banks and their supervisors as well as from academic research. Whereas the main interest has been focused on backtesting methods, alternative approaches such as benchmarking are of growing importance....

We suggest a new framework for the use of multi-rater information in the validation of credit rating systems, applicable in any validation process where rating information from different sources is available. As our validation framework does not rely on historical default information it appears...

In this paper we examine the influence of the granularity of a rating system on the resulting regulatory capital requirements with respect to the framework released by the Basel Committee on Banking Supervision (Basel II). We define granularity as the number of cohorts or rating classes used to...

The objective of this paper is to estimate and test multifactor versions of the Cox-Ingersoll-Ross (CIR) model of the nominal term structure of interest rates. The proposed state-space approach integrates time-series and cross-sectional aspects of the CIR model, is consistent with the underlying...

We model a sovereign debt manager who has a prediction of the budget deficit and needs to raise debt at the beginning of the budget period. In this setting, the sovereign may issue debt in excess of expected funding needs – a precautionary cash buffer – as a measure of self-insurance against...

This paper proposes a test for the existence and degree of contagious presenteeism and negative externalities in sickness insurance schemes. First, we theoretically decompose moral hazard into shirking and contagious presenteeism behavior and derive testable conditions. Then, we implement the...