Bank Capital Regulation With Random Audits
We consider a model of optimal bank closure rules (cum capital replenishment by banks), with Poisson-distributed audits of the bank’s asset value by...
Reallocation of Corporate Resources and Managerial incentive in Internal Capital Markets
One distinguished feature of internal capital markets is their ability to reallocate funds in favour of the most profitable divisions (winner-picking)...
Yield curve estimation by kernel smoothing
We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach...
Pricing Convexity Adjustment with Wiener Chaos
This paper presents an approximated formula of the convexity adjustment of Constant Maturity Swap rates, using Wiener Chaos expansion, for multi...
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks
This paper presented a new technique for the simulation of the Greeks (i.e. price sensitivities to parameters), efficient for strongly discontinuous...
Excessive Continuation and Dynamic Agency Costs of Debt
This paper analyses the incentives of the equityholders of a leveraged company to shut it down in a continuous time, stochastic environment. Keeping...
Debt, Incentives and Performance: Evidence from UK Panel Data
A large body of theoretical literature suggests that capital structure plays an important role as a managerial incentive mechanism. Cross-sectional...
Valuation and Martingale properties of shadow prices
Concepts of asset valuation based on the martingale properties of shadow (or marginal utility) prices in continuous-time, infinite-horizon stochastic...
Banks as Catalysts for Industrialization
We provide a theoretical framework to address the historical debate about the role of banks in industrialization. We introduce banks into a model of...
The Profitability of Block Trades in Auction and Dealer Markets
The paper compares the trading costs for institutional investors who are subject to liquidity shocks, of trading in auction and dealer markets. The...
Collateral, Renegotiation and the Value of Diffusely Held Debt
Debt with many creditors is analyzed in a continuous-time pricing model of the levered firm. We specifically allow for debtor opportunism vis-a-vis a...
Financial Constraints, Precautionary Saving and Firm Dynamics
This paper proposes a structural model that analyses the way financing constraints affect investment, consumption and saving decisions of the...
