Marking to Market versus Taking to Market
While the debate on cost and market-value accounting has been raging for years, economists lack a framework allowing a comparison of their relative...
Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall...
Endogenous Market Making and Network Formation
This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous...
Sovereign bond purchases and risk sharing arrangements: Sharing: Myth and Reality of the European QE
In March, the Eurosystem started to purchase on the secondary market euro-denominated bonds issued by governments, agencies and European institutions...
Interaction between monetary policy and bank regulation: Theory and European practice
The European Union has pursued a number of initiatives to create a safer and sounder financial sector for the single market. In parallel, bold...
The macro-micro conflict
There has always been conflict between macro- and microeconomic regulation. Microeconomic policy reigns supreme during good times, and macro during...
Human Capital and International Portfolio Diversification: A Reappraisal
We study the implications of human capital hedging for international portfolio choice. First, we document that, at the household level, the degree of...
Volatility, financial crises and Minsky's hypothesis
Does low volatility in financial markets mean that another financial crisis is more likely? And should we be worried when everything is OK? This...
Endogenous Contractual Externalities
We study effort and risk-taking behaviour in an economy with a continuum of principal-agent pairs where each agent exerts costly hidden effort. When...
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report
Since increasing a bank's capital requirement to improve the stability of the financial system imposes costs upon the bank, a regulator should ideally...
Parameterized Games, Minimal Nash Correspondences, and Connectedness
Economics and game theory are replete with examples of parameterized games. We show that all minimal Nash payoff USCOs belonging to the Nash...
Stationary Markov Equilibria for K-Class Discounted Stochastic Games
For a discounted stochastic game with an uncountable state space and compact metric action spaces, we show that if the measurable-selection-valued...
A Fixed Point Theorem for Measurable-Selection-Valued Correspondences Arising in Game Theory
We establish a new fixed point result for measurable-selection-valued correspondences with nonconvex and possibly disconnected values arising from the...
Iceland, Greece and political hectoring
The Greek and the Icelandic crisis have much in common, not the least the heavy pressure from foreign countries and the hectoring from their public...
The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis
Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non...
A proposed research and policy agenda for systemic risk
The long-running Greek crisis and China’s recent stock market crash are the latest threats to the stability of the global financial system. But as...
