The Impact of Negative Interest Rates on Optimal Capital Injections....
In the present paper, we investigate the optimal capital injection behaviour of an insurance company if the interest rate is allowed to become negative. The surplus process of the considered insurance...
View ArticlePanel dataset description for econometric analysis of the ISP-OTT...
The latest technological advancements in the telecommunications domain (e.g., widespread adoption of mobile devices, introduction of 5G wireless communications, etc.) have brought new stakeholders into...
View ArticleQuantifying Retail Agglomeration using Diverse Spatial Data....
Newly available data on the spatial distribution of retail activities in cities makes it possible to build models formalized at the level of the single retailer. Current models tackle consumer location...
View ArticleDid the founding of the Federal Reserve affect the vulnerability of the...
As a result of legal restrictions on branch banking, an extensive interbank system developed in the United States during the 19th century to facilitate interregional payments and flows of liquidity and...
View ArticleBanking industry dynamics and size-dependent capital regulation
This paper presents a general equilibrium model with a dynamic banking sector to characterize optimal size-dependent bank capital regulation (CR). Bank leverage choices are subject to the risk-return...
View ArticleIOSCO identifies the risks to retail investors of OTC leveraged products
IOSCO/MR/31/2016read more...
View ArticleIOSCO consults on order routing incentives in ongoing effort to protect...
IOSCO/MR/32/2016read more...
View ArticleIOSCO monitors growing use of automated advice tools to protect investors
IOSCO/MR/33/2016read more...
View ArticleWhy Design Thinkers Need Grit
Lili Ermezei, Creative Strategy Director at Wonder Agency, makes the case in this terrific blog post that, "Being gritty is essential for successful design projects." I agree wholeheartedly. Some...
View ArticleLeverage and Uncertainty. (arXiv:1612.07194v1 [q-fin.RM])
Risk and uncertainty will always be a matter of experience, luck, skills, and modelling. Leverage is another concept, which is critical for the investor decisions and results. Adaptive skills and...
View ArticleConditional loss probabilities for systems of economic agents sharing...
We analyze systems of agents sharing light-tailed risky claims issued by different financial objects. Assuming exponentially distributed claims, we obtain that both agents' and system's losses follow...
View ArticleAnalytic solution to variance optimization with no short-selling....
A large portfolio of independent returns is optimized under the variance risk measure with a ban on short positions. The no-short selling constraint acts as an asymmetric $\ell_1$ regularizer, setting...
View ArticlePricing Derivatives in Hermite Markets. (arXiv:1612.07016v1 [q-fin.MF])
We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financial markets driven by...
View ArticleLME Clear and LME announce the appointment of James Proudlock as Deputy Chief...
LME Clear and the London Metal Exchange (LME) are pleased to announce the appointment of James Proudlock as Deputy Chief Executive for LME Clear. James will join in April 2017 and he will report to the...
View ArticleRethinking How You Set Your Goals (and form New Year's Resolutions)
Duke's Dorie Clark has some good advice in her HBR blog post regarding goal setting strategies. Clark first cites some interesting research on the ineffectiveness of to-do lists:Indeed, one indication...
View ArticleWeekly Top 5 Papers â December 19, 2016
1. Sensation Seeking, Sports Cars, and Hedge Funds by Stephen Brown (New York University (NYU) – Leonard N. Stern School of Business) and Yan Lu (University of Central Florida-Department of Finance)...
View ArticleDepression for Economists -- by Jonathan de Quidt, Johannes Haushofer
Major depressive disorder (MDD) is one of the most prevalent mental illnesses worldwide. Existing evidence suggests that it has both economic causes and consequences, such as unemployment. However,...
View ArticleBeliefs about Gender -- by Pedro Bordalo, Katherine B. Coffman, Nicola...
We conduct a laboratory experiment on the determinants of beliefs about own and others' ability across different domains. A preliminary look at the data points to two distinct forces: miscalibration in...
View ArticleAdjustment to Small, Large, and Sunspot Shocks in Open Economies With Stock...
This paper characterizes analytically the adjustment of an open economy with a stock collateral constraint to fundamental and nonfundamental shocks. In the model, external borrowing is limited by the...
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