We present a model that describes how different types of bank regulation can interact to affect the likelihood of fire sales in a crisis. In our model, risk shifting motives drive how banks recapitalize following a negative shock, leading banks to concentrate their portfolios. Regulation affects...

The paper deals with the issues of investment of hybrid and public venture capital funds. The results show that hybrid and public venture capital funds in Latvia in most cases are the first investors. Only a smaller part of these investments are investments of the early stages of funding. The...

The recent global financial crisis reignited concerns over systemic risk in the financial industry as a new type of systemic risk emerged – the severe loss of asset value due to illiquidity. The crisis has sparked a large body of research and has led to a number of new quantitative indicators...

Growth of non-cash monies has been sustained in the main by that of individual ruble-denominated bank deposits. The deposits and monies kept on their bank accounts by organizations have been growing at a slower pace, thus corresponding to the movement of their turnover in nominal terms. At the...

The Basel Accord assumes an inverse relationship between the probability of default and the asset correlation parameter, with the latter being responsible for modeling the degree of cyclicality of default rates. Previous empirical studies that embedded the formula of the Basel Accord into a...

Prominent policy makers assert that managerial short-termism was at the root of the subprime crisis of 2007-2009. Prior scholarly research, however, largely rejects this assertion. Using a more comprehensive measure of CEO incentives for short-termism, we uncover evidence that short-termism...

The global financial crisis triggered a vast number of new laws and regulations at international level, including initiatives that can be classified as "soft law". The legitimacy and efficacy of these new norms are subject to intensive academic and political debates. At the same time, soft law...

We provide an extensive analysis of the payout policy of U.S. banks during the crisis to examine potential risk-shifting and signaling motives of banks. We estimate an empirical model of bank payouts to assess the extent to which changes in payouts are commensurate with worsening fundamentals....

This paper presents a new model for valuing hybrid defaultable financial instruments, such as, convertible bonds. In contrast to previous studies, the model relies on the probability distribution of a default jump rather than the default jump itself, as the default jump is usually inaccessible....

This paper presents a Least Square Monte Carlo approach for accurately calculating credit value adjustment (CVA). In contrast to previous studies, the model relies on the probability distribution of a default time/jump rather than the default time itself, as the default time is usually...