Discussion Papers

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate endogenous interaction between banks...

In this paper we propose an estimation method for two classes of semiparametric scalar diffusion models driven by a Brownian motion: In the first...

Allowing for a richer information structure than usual, we show that rational traders’ calculation with short-term price fluctuations may heavily...

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...

This paper analyzes banks’ choice between lending to firms individually and sharing lending with other banks, when firms and banks are subject to...

Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market...

We show that a life-cycle asset allocation model with liquidity constraints and realistically calibrated uninsurable labor income risk rationalizes...

The present work deals with optimal planning in continuous time, infinite horizon, stochastic neo-classical one-sector models of economic growth (or...

This paper examines the performance of personal pensions (exempt unit trusts) in the UK 1980-2000. Unitised personal pension schemes are a type of...

This paper uses data from the British Household Panel Survey to shed further light on the fall in spending at retirement (the "retirement-consumption...

With a move away from up-front charges following the introduction of stakeholder pensions, consumers are no longer penalised for lapsing on many long...

Despite a steady accumulation of empirical work, there has been no theoretical work attempting to shed light on the role of banks in facilitating...

We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic...

The purpose of our work is to explore contagious financial crises. To this end, we use simplified, thus numerically solvable, versions of our general...

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...

Given the opportunity to buy IPO shares of uncertain value at a fixed price, potentially informed investors have an incentive to refuse to participate...