The returns of equities and bonds tend to be positively correlated, but in extreme situations this relation reverses. Large negative equity returns co-occur with large positive bond returns. This is potentially caused by investors reassessing their risk preferences and shifting their wealth to...

The shipping crisis starting in 2008 was characterized by sharply decreasing freight rates and sharply increasing financing costs. We analyze the dependence structure of these two risk factors employing a conditional copula model. As conditioning factors we use the supply and demand of seaborne...

We propose a novel framework for investigating learning dynamics on a competitive debt market. Observing a firm's survival of apparently distressed periods, the market eliminates asset value estimates that are too low to be consistent with the observed survival. Therefore, the firm's cost of...

We introduce a dynamic principal-agent model to understand the nature of contracts between an employer and an independent gig worker. We model the worker’s self-respect with an endogenous participation constraint; he accepts a job offer if and only if its utility is at least as large as his...

We introduce a dynamic principal-agent model to understand the nature of contracts between an employer and an independent gig worker. We model the worker’s self-respect with an endogenous participation constraint; he accepts a job offer if and only if its utility is at least as large as his...

We propose a structural mortgage prepayment model, where mortgage holders have to allocate costly attention to implement prepayment decisions, and apply the model to US prime mortgages. Our empirical results suggest that commonly observed refinancing mistakes, such as choosing a financially...

Continuous time models have been elevated to great importance in the modelling of time series data, in response to the successful options pricing model of Black and Scholes (1973), among other things. In 2004, Kluppelberg, Lindner, and Maller introduced the “COGARCH” model as a...

This study's modeling analysis indicates that optimal hedging and optimal leverage decisions are patently different if undertaken jointly than when undertaken in isolation. The most striking result is that the optimal joint hedging and leverage strategy entails reduced hedging for a weak price...

We study the valuation of unit-linked life insurance contracts with surrender guarantees. Instead of solving an optimal stopping problem, we propose a more realistic approach accounting for policyholders’ rationality in exercising their surrender option. The valuation is conducted at the...