Infinite dimensional portfolio representation as applied to model points selection in life insurance,
Enrico Ferri,
from arXiv.org
(2020)
Law-invariant functionals on general spaces of random variables,
Fabio Bellini, Pablo Koch-Medina, Cosimo Munari and Gregor Svindland,
from arXiv.org
(2021)
Convertible bonds and bank risk-taking,
Natalya Martynova and Enrico Perotti,
from Deutsche Bundesbank
(2018)
Keywords: Banks, Contingent Capital, Risk-shifting, Financial Leverage
Basel III capital requirements and heterogeneous banks,
Carola Müller,
from Halle Institute for Economic Research (IWH)
(2018)
Keywords: banking regulation, heterogeneous banks, banking competition, capital requirements, leverage ratio, Basel III
A Theory of Credit Scoring and the Competitive Pricing of Default Risk,
Satyajit Chatterjee, P. Dean Corbae, José-Víctor Ríos-Rull and Kyle Dempsey,
from Society for Economic Dynamics
(2018)
Key Borrowers Detection by Long-Range Interactions,
Fuad Aleskerov, Natalia Meshcheryakova, Alisa Nikitina and Sergey Shvydun,
from arXiv.org
(2018)
Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles,
Didier Sornette, Peter Cauwels and Georgi Smilyanov,
from Swiss Finance Institute
(2017)
Keywords: gradual portfolio adjustment, international portfolio allocation, predictable excess returns.
Risk-Reward Ratio Optimisation (Revisited),
Manfred Gilli and Enrico Schumann,
from Swiss Finance Institute
(2017)
Keywords: Numerical optimisation; Heuristics; Risk-based investing; Downside risk; Factor Investing; UCITS
Why do banks securitise their assets? Bank-level evidence from over one hundred countries in the pre-crisis period,
Fabio Panetta and Alberto Pozzolo,
from Bank of Italy, Economic Research and International Relations Area
(2018)
Keywords: credit risk transfer, securitisation, financial derivatives
Risk Framework Analysis in the Management of Sovereign Debt: The Argentine case,
Emiliano Delfau,
from Universidad del CEMA
(2018)
Keywords: Contingent Claim Analysis (CCA), Debt Sustainability Analysis (DSA),MertonModel, Sovereign Risk, Distance to Default, Risk Neutral Spread.
Banks’ Liquidity Management and Systemic Risk,
Ettore Panetti and Luca Deidda,
from Banco de Portugal, Economics and Research Department
(2017)
Repo market functioning: the role of capital regulation,
Neeltje Van Horen and Antonis Kotidis,
from Bank of England
(2018)
Keywords: Capital regulation; leverage ratio; repo market; non-bank financial institutions
Valuing Life as an Asset, as a Statistic and at Gunpoint,
Julien Hugonnier, Pelgrin, F.; and St-Amour, P.;,
from HEDG, c/o Department of Economics, University of York
(2018)
Keywords: value of human life; human capital; value of statistical life; Hicksian willingness to pay; equivalent variation; mortality; structural estimation;
Real implications of corporate risk management: Evidence from U.S. oil producers,
Georges Dionne and Mohamed Mnasri,
from HEC Montreal, Canada Research Chair in Risk Management
(2018)
Keywords: Corporate risk management; real implications; value creation; risk reduction; hedging benefits; oil producers; marginal treatment effect; average treatment effect; essential heterogeneity model
Willingness to Take Risk: The Role of Risk Conception and Optimism,
Thomas Dohmen, Simone Quercia and Jana Willrodt,
from Institute of Labor Economics (IZA)
(2018)
Keywords: risk taking behavior, optimism, preference measures, risk conception