We use a large sample of non-US banks to examine the propagation of the 2007-2009 crisis. Using both stock market and structural variables we test whether the relative incidence of the crisis was better explained by crisis models or by the VaR-type analysis of the Basel system. Consistent with...

Recent studies have debated the impact of investor protection law on corporate behavior and value. I exploit the staggered passage of state securities fraud statutes (“blue sky laws”) in the United States to estimate the causal effects of investor protection law on firm financing decisions...

In this paper, we simulate and analyze the impact of financial regulations concerning the collateralization of derivative trades on systemic risk - a topic that has been vigorously discussed since the financial crisis in 2007/08. Experts often disagree on the efficacy of these regulations....

The purpose of this paper is to analyse the technological and organizational innovations in the retail banking, with particular reference to the multi-channel banking business model. The key elements of this paper are the distinctive features of the application of the multi-channel model in the...

The year 2019 was one of the luckiest periods in the history of Russia's stock market. On a 10-year time horizon (2010–2019), the geometric mean return on investment in Russian ruble-denominated stocks amounted to 8.3% per annum, which was below the corresponding indices of only a few markets...

I study the history and performance of commercial real estate (CRE) in the pension fund portfolio, showing how many plan sponsors fundamentally changed their approach to CRE investment once underfunding gaps began to emerge in the early and middle 2000s. Several new empirical facts are...

Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply risk-taking is physiological, as for a lot of human activities. Among risks related to credit inter-mediation, credit risk assumes particular importance. It is most simply defined as...

This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most...

Disclosure is a crucial aspect of the corporate landscape and has been the subject of in-depth scholarly discussion in recent years.This Article aims to advance this lively debate by carefully analyzing the argument that the beneficial ownership reporting requirements adopted under Section 13(d)...

Wrong way risk (WWR) phenomena in counterparty credit risk value adjustment (CVA) and capital is well understood. It arises from level correlation or cointegration of counterparty default and exposure. There is very limited trading available in CVA space and therefore different banks take quite...