The near impossibility of credit rationing
Equilibrium credit rationing in the sense of Stiglitz and Weiss (1981) implies the marginal cost of funds to the borrower is infinite. So borrowers...
A local instrumental variable estimation method for generalized additive volatility models
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature...
The United Kingdom pension system: Key Issues
This paper examines the key issues relating to the UK pension system. It reviews the current system of pension provision, describes and analyses the...
The Governance Structure for Financial Regulation and Supervision in Europe
This paper examines the unfinished agenda of the governance structure for financial regulation and supervision in Europe. In this unfinished agenda...
IPOs: insights from seven European countries
We perform a comparative country-by-country study of companies going public in the six largest Continental European markets and Sweden during 1988 and...
The cross-section of European IPO returns
We apply a sector-based approach to companies going public in the six largest Continental European markets and Sweden during a period characterized by...
Take (smoothed) Risks When You Are Young, Not When You Are Old: How To Get the Best From Your Stakeholder Pension Plan
Using stochastic modelling, we demonstrate that the best investment strategy for the accumulation phase of a defined contribution pension plan is one...
The role of money in the transmission mechanism of monetary policy: evidence from Thailand
Meltzer (2001b) argues that the current trend for downgrading the role of money in standard macro models is erroneous as it masks those monetary...
Does reinsurance need reinsurers?
The reinsurance market is the secondary market for insurance risks. It has a very specific organization. Direct insurers do not trade risks with each...
Tranching
The structure of securitization deals, referred to as "tranching", is standard. In those transactions, claims on cash flows generated by the...
On Time-scaling of Risk and the Square–root–of–time Rule
Many financial applications, such as risk analysis and derivatives pricing, depend on time scaling of risk. A common method for this purpose, though...
UK annuity rates and pension replacement ratios 1957-2002
This paper constructs a time series of annuity rates in the UK for 1957-2002, and examines the pricing of UK annuities, and the relationship between...
Pensionmetrics 2: stochastic pension plan design during the distribution phase
We consider the choices available to a defined contribution (DC) pension plan member at the time of retirement for conversion of his pension fund into...
UK pension fund management after Myners: the hunt for correlation begins
The Myners Report will have a number of significant consequences for pension fund management and performance measurement in the UK.
It changes the...
Self-fulfilling liquidity and the coordination premium
Liquidity, defined as the ease with which an asset may be marketed, has a self-fulfilling dimension. If investors in the primary market for a new...
Predatory Trading
This paper studies predatory trading: trading that induces and/or exploits other investors' need to reduce their positions. We show that if one trader...
