Credible pensions
This paper is about the problem of trust in public and private pensions. Trust is largely a problem of credibility and whether we can reasonably...
Multiple-bank lending: diversification and free-riding in monitoring
This paper analyzes banks’ choice between lending to firms individually and sharing lending with other banks, when firms and banks are subject to...
A human capital explanation for an asset allocation puzzle
We show that a life-cycle asset allocation model with liquidity constraints and realistically calibrated uninsurable labor income risk rationalizes...
General properties of rational stock-market fluctuations
Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market...
Performance of personal pension schemes in the UK
This paper examines the performance of personal pensions (exempt unit trusts) in the UK 1980-2000. Unitised personal pension schemes are a type of...
Can the retirement-consumption puzzle be resolved?: evidence from the British Household Panel Survey
This paper uses data from the British Household Panel Survey to shed further light on the fall in spending at retirement (the "retirement-consumption...
Stopping short?: evidence on contributions to long-term savings from aggregate and micro data
With a move away from up-front charges following the introduction of stakeholder pensions, consumers are no longer penalised for lapsing on many long...
Continous time optimal stochastic growth: local martingales, transversality and existence
The present work deals with optimal planning in continuous time, infinite horizon, stochastic neo-classical one-sector models of economic growth (or...
Co-ordination failure and the role of banks in the resolution of financial distress
Despite a steady accumulation of empirical work, there has been no theoretical work attempting to shed light on the role of banks in facilitating...
Estimation and testing of dynamic models with generalised hyperbolic innovations
We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic...
A model to Analyse financial fragility: applications
The purpose of our work is to explore contagious financial crises. To this end, we use simplified, thus numerically solvable, versions of our general...
Basel and procyclicality: a comparison of the standardised and IRB approaches to an improved credit risk method
Our procedure here is to try to reconstruct a typical bank portfolio for a country and then, holding the presumed loan book unchanged over time, (i.e...
Block-booking and IPO share allocation: the importance of being ignorant
Given the opportunity to buy IPO shares of uncertain value at a fixed price, potentially informed investors have an incentive to refuse to participate...
Principal agent problems under loss aversion: an application to executive stock options
Executive stock options reward success but do not penalise failure. In contrast, the standard principal- agent model implies that pay is normally...
Consistent testing for stochastic dominance: a subsampling approach
We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of Stochastic Dominance of arbitrary order in the...
Are annuities value for money?: who can afford them?
This paper solves an empirically parameterized model of households’ optimal de- mand for nominal and inflation indexed annuities. The model...
