Locally Minimizing the Credit Risk
The aim of this paper is the valuation and hedging of defaultable bonds and options on defaultable bonds. The Heath/Jarrow/Morton-framework is used to...
Co-ordinated Monetary and Foreign Exchange Intervention
When the monetary authorities wish to target the value of a foreign currency, they may coordinate their intervention in the money and foreign exchange...
Technological innovations: slumps and booms
This paper documents the delayed adoption of a major technological innovation: the adoption of the diesel locomotive in the US railway industry...
What Level of Fixed Costs Can Reconcile Asset Returns and Consumption Choices?
This paper defines a lower bound on the fixed cost that is required for observations on consumption choices to be consistent with data on asset...
Implicit Contracts, Managerial Incentives and Financial Structure
This paper examines how managers may be given incentives to exert effort, and to implement efficient implicit contracts with workers. Under certain...
The Effect of Contemporaneous Futures Market Volume on Spot Market Volatility
There has been considerable interest, both academic and regulatory, in the hypothesis that the higher is the volume in the future market, the greater...
Market Maker Performance: The Search for Fair Weather Market Makers
The London Stock Exchange has long been concerned that some market makers are not fulfilling their obligations. This study describes a range of tests...
Short-Term and Long-Term Government Debt and Non-Residential Interest Withholding Taxes
This paper examines the incidence of nonresident interest withholding taxes in the international 3-month Treasury-bill market and the international 5...
Sustainability of Capital Ratios and Regulator Reputation: Discretionary vs. Binding Legalisation
This paper aims at developing a model of reputation acquisition by the insurer-regulator, in an incompletely informed banking system. Reputation...
Short-Term and Long-Term Government Debt and Non-Resident Interest Withholding Taxes
This paper examines the incidence of nonresident interest withholding taxes in the international 3-month Treasury-bill market and the international 5...
Value-At-Risk and Extreme Returns
Accurate prediction of extreme events are of primary importance in many financial applications. The properties of historical simulation and...
Extreme Returns, Tail Estimation and Value-at-Risk
Accurate prediction of extreme events are of primary importance in many financial ap-plications. The properties of historical simulation and...
Term Structure Modelling of Defaultable Bonds
In this paper we present a model of the development of the term structure of defaultable interest rates that is based on a multiple-defaults model...
R&D Intensity and Finance: Are Innovative Firms Financially Constrained?
The assumption of perfect capital markets is least likely to be satisfied for the class of firms which devote resources towards the development of...
Optimal Managerial Remuneration and Firm-level Diversification
In a model that exhibits both moral hazard and hidden information on the part of the manager different remuneration schemes are discussed and the...
Pricing Options on Assets with Predictable White Noise Returns
We study the effect of predictability of an asset's return on the prices of options on that asset, for models in which returns are serially...
