When to sell Apple and the NASDAQ? Trading bubbles with a stochastic disorder model
In this paper, the authors apply a continuous time stochastic process model developed by Shiryaev and Zhutlukhin for optimal stopping of random price...
A Theory of the Evolution of Derivatives Markets
This paper develops a theory of the opening and dynamic development of a futures market with competing exchanges. The optimal contract design involves...
The effect of monitoring on CEO pay practices in a matching equilibrium
We present a model of efficient contracting with endogenous matching and limited monitoring in which firms compete for CEOs. The model explains the...
Say Pays! Shareholder Voice and Firm Performance
This paper estimates the effects of Say-on-Pay (SoP); a policy that increases shareholder "voice" by providing shareholders with a regular vote on...
Financial Regulation After the Crisis: How Did We Get Here, and How Do We Get Out?
Following the crisis of 2007, regulatory authorities either are or should be engaging in a fundamental reconsideration of how they approach financial...
Solvency II: Three principles to respect
The European legislation on prudential rules for insurance companies (Solvency II) is set for a final decision. It will be of fundamental importance...
Mark-to-Market Accounting and Systemic Risk: Evidence from the Insurance Industry
One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting...
Chasing trends is a dangerous game
Big investors currently pursue two very different strategies when appointing external managers. Their traditional approach is to hire fund managers...
Market Quality and Contagion in Fragmented Markets
Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality...
Cyclical Adjustment of Capital Requirements: A Simple Framework
We present a model of an economy with heterogeneous banks that may be funded with uninsured deposits and equity capital. Capital serves to ameliorate...
Political challenges of the macroprudential agenda
Central banks frequently lead the macroprudential policy implementation. The hope is that their credibility in conquering inflation might rub off on...
Procyclical Leverage and Value-at-Risk
The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that...
Global Financial Systems: Stability and Risk
The book uses economic theory, finance, mathematical modelling, risk theory, and policy to posit a comprehensive, coherent and current economic...
Anticipated and repeated shocks in liquid markets
Review of Financial Studies, 26 (8). pp. 1891-1912.
Bond market clienteles, the yield curve, and the optimal maturity structure of government debt
Review of Financial Studies, 26 (8). pp. 1914-1961.
Trading frenzies and their impact on real investment
Journal of Financial Economics, 109 (2). pp. 566-582.
