Similar Search Results

Hassan, Fadi; Di Mauro, Filippo; Ottaviano, Gianmarco I. P. - 2017

between productivity and bank credit in the context of different financial market set-ups, we introduce a model of overlapping … generations of entrepreneurs under complete and incomplete credit markets. Then, we exploit firm-level data for France, Germany … and Italy to explore the relation between bank credit and productivity following the main derivations of the model. We …

Persistent link: https://www.econbiz.de/10011636916

Mean-variance analysis of wholesale price contracts with a capital-constrained retailer : trade credit financing vs. bank credit financing

Yang, Honglin; Zhuo, Wenyan; Shao, Lusheng; Talluri, … - In: European journal of operational research : EJOR 294 (2021) 2, pp. 525-542

Persistent link: https://www.econbiz.de/10012595877

Portfolio Valuation Under Liquidity and Expected Shortfall Constraints

Lee, Hwayoung - 2016

In the standard approach to fund valuation, it is often assumed that markets are perfectly liquid and hence assets have unique prices. In practice, however, as has been widely documented, this is not the case. Asset values are impacted by deterioration of market liquidity (market depth)....

Persistent link: https://www.econbiz.de/10012986400

Proportional Reinsurance and Investment in Multiple Risky Assets Under Borrowing Constraints

Yener, Haluk - 2023

In this paper, we consider the ruin probability minimization of an insurance company that buys proportional reinsurance and invests in markets where borrowing is constrained. We use a diffusion approximation model for the surplus process of this company and assume that the company invests its...

Persistent link: https://www.econbiz.de/10014355605

Managing Sponsor Risk in Pension Plans : Dynamic Strategies vs. Pension Assurance

Sender, Samuel J. - 2016

Defined-benefit (DB) pension funds, often underfunded, rely on the legal obligation of their sponsor to secure pension rights for individuals.Because that guarantee is risky, ways must be found to secure the pension promises. This paper is the first to identify the optimal pension fund...

Persistent link: https://www.econbiz.de/10013008481

Appendix to Managing Sponsor Risk in Pension Plans : Derivation and Implementation of First-Best Strategies

Sender, Samuel J. - 2014

Defined-benefit (DB) pension funds, often underfunded, rely on the legal obligation of their sponsor to secure pension rights for individuals. The sponsor guarantee being risky, its riskiness must be hedged to secure the pension promises. This appendix details the implementation of the extended...

Persistent link: https://www.econbiz.de/10013045782

Optimal Portfolio in Corporate Pension Plans : Risk Shifting and Risk Management

Romaniuk, Katarzyna - 2018

We derive the optimal corporate pension portfolio policy in a consolidated setting in the presence of PBGC insurance. The paper's result formalizes the forces of risk shifting and risk management that shape the form of the corporate pension portfolio. As in Rauh (2009), the risk-shifting and...

Persistent link: https://www.econbiz.de/10012928577

Learning, Pricing, Timing and Hedging of the Option to Invest for Perpetual Cash Flows with Idiosyncratic Risk

Song, Dandan - 2014

The paper considers the option of an investor to invest in a project that generates perpetual cash flows, of which the drift parameter is unobservable. The investor invests in a liquid financial market to partially hedge cash flow risk and estimation risk. We derive two 3-dimensional non-linear...

Persistent link: https://www.econbiz.de/10013062800

Managing Sponsor Risk in Pension Plans : Dynamic Strategies vs Pension Assurance

Sender, Samuel J. - 2012

Defined-benefit (DB) pension funds, which are often underfunded, rely on the legal obligation of their sponsor to secure pension rights. This paper is the first to solve the optimal portfolio choice problem of pension funds taking into account the risk on the sponsor's guarantee, and we show...

Persistent link: https://www.econbiz.de/10013109471

Is Liquidity Largely Unpriced While Market Volatility is Systematically Priced?

Levy, Andre - 2016

We show in a fairly general setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced. This is because the buying and selling counterparties must both be optimizing....

Persistent link: https://www.econbiz.de/10013001416