Publications

Creditors of a distressed borrower face a coordination problem. Even if the fundamentals are sound, fear of premature foreclosure by others may lead...

We study the dynamics of the spread between U.S. corporate and Treasury bonds. We foloped for interest rate processes we try to infer from the data...

We show that the recently developed nonparametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielsen, and...

This paper gives a short introduction of the academic field of financial asset pricing and relates some recent as well as historical developments in...

This paper puts forward the existence of financing constraints as a possible explanation for two main empirical regularities about inventories; that...

This paper shows that if moral hazard leads to credit rationing, an appropriate usury law must raise social welfare. Under market clearing, a usury...

There are two fundamental puzzles about trade credit: why does it appear to be so expensive, and why do input suppliers engage in the business of...

This paper offers an option pricing framework grounded in econometric microstructure modelling. We consider a model where stock price dynamics follow...

We develop a simple binomial model of liquidity and credit risk in which a bondholder has the option to time the sale of his security, given a...

I study an example of a coordination game, and examine the robustness of equilibrium predictions with respect to changes in the information structure...

Markov switching models with time-varying means, variances and mixing weights are applied to characterize business cycle variation in the probability...

In this paper I try to address the question of whether, and why, it matters whether banking supervision is undertaken in-house in the Central Bank or...

This paper considers the properties of risk measures, primarily Value–at–Risk (VaR), from both internal and external (regulatory) points of view. It...

We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric...

We develop an incomplete contract model to analyze the enlargement strategy of a club. An applicant is characterized by his wealth and the degree of...