Discussion Papers

Equilibrium credit rationing in the sense of Stiglitz and Weiss (1981) implies the marginal cost of funds to the borrower is infinite. So borrowers...

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature...

This paper examines the key issues relating to the UK pension system. It reviews the current system of pension provision, describes and analyses the...

We perform a comparative country-by-country study of companies going public in the six largest Continental European markets and Sweden during 1988 and...

We apply a sector-based approach to companies going public in the six largest Continental European markets and Sweden during a period characterized by...

Using stochastic modelling, we demonstrate that the best investment strategy for the accumulation phase of a defined contribution pension plan is one...

Meltzer (2001b) argues that the current trend for downgrading the role of money in standard macro models is erroneous as it masks those monetary...

The reinsurance market is the secondary market for insurance risks. It has a very specific organization. Direct insurers do not trade risks with each...

The structure of securitization deals, referred to as "tranching", is standard. In those transactions, claims on cash flows generated by the...

Many financial applications, such as risk analysis and derivatives pricing, depend on time scaling of risk. A common method for this purpose, though...

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...

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...

The Myners Report will have a number of significant consequences for pension fund management and performance measurement in the UK.

It changes the...

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...

This paper studies predatory trading: trading that induces and/or exploits other investors' need to reduce their positions. We show that if one trader...

It has been suggested (Morris, Shin 2001) that co-ordination failure between holders of debt can affect the price of debt. In essence, fear of...