Publications

The regulatory story of hedge funds is a remarkable one, especially for an investment class born to remain outside any regulatory oversight.

We argue on theoretical grounds that obligatory compliance with stricter financial reporting rules (e.g., the US Sarbanes-Oxley Act) may entail...

The estimation of the profit and loss distribution of a loan portfolio requires the modelling of the portfolio’s multivariate distribution. This...

This paper presents the Conditional Probability of Default (CoPoD) methodology for modelling the probabilities of loan defaults (PoDs) by small and...

Over the past years, several countries around the world have adopted a system of prudential prompt corrective action (PCA). The European Union...

Using cross-sectional analysis of corporate dividend policy we show that large shareholders extract rents from firms and expropriate minority...

This paper proposes a measure of financial fragility that is based on eco- nomic welfare in a general equilbrium model calibrated against UK data. The...

First generation models assume that the level of reserves of a Central Bank in a fixed exchange rate regime is common knowledge among consumers, and...

Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and con- sistent ranking...

We investigate whether a rare event (like the default of the annuity provider) can explain the annuity market participation puzzle. High risk aversion...

We analyze the degree of contract completeness with respect to staging of venture capital investments using a hand-collected German data set of...

This paper explores the potential for violations of VaR subadditivity both theoretically and by simulations, and finds that for most practical...

Not only in the classic Arrow-Debreu model, but also in many mainstream macro models, an implicit assumption is that all agents honour their...