The objective of this study is to develop a majorization-based tool to compare financial networks with a focus on the implications of liability concentration. Specifically, we quantify liability concentration by applying the majorization order to the liability matrix that captures the...

The topic of insolvency risk in connection with life insurance companies has recently attracted a great deal of attention. In this paper, the question is investigated of how the values of the equity and of the liability of a life insurance company are affected by the default risk and the choice...

We analyse the effect of mean-reverting cash flows on the costs of shareholder-bondholder conflicts arising from partially debt-financed investments. In a partial equilibrium setting we find that such agency costs are significantly lower under mean-reverting (MR) dynamics, when compared to the...

We develop a continuous-time structural model to characterize the manager-shareholder conflict over the choice of dynamic investment when the manager is compensated with cash salary, stock and option. We then focus on investigating the dissimilar impact of stock and option compensations on the...

This paper introduces a measure that captures the premium in bond prices that is due to the value of creditor control. We estimate the premium as the difference in the bond price and an equivalent synthetic bond without control rights that is constructed using CDS contracts. Empirically, we find...

We introduce the Carbon Equivalence Principle that requires carbon-equivalent flows enabled, or caused, by a financial product to have equal status with cashflows. This reveals that existing financial products already have environmental impact and so are ESG-linked, without the need for any...

We develop quantitative methods to support financial product analysis-redesign required by the Carbon Equivalence Principle (CEP) to achieve financial net-zero and thus carbon net-negative positions. We then apply the CEP analysis-redesign to project finance for power generation across a range...

Following the method of Pesaran, Shin and Smith (1999), this study extends the results of Sun, Lin and Nieh (2007) to investigate the risk diversification issue of individual corporate bonds in portfolios. This is one of the few studies on the decomposition of individual corporate yield spreads....