In a two-country portfolio model with leverage constraints, I focus on private assets in order to understand how their behaviour can justify an expected excess return as well as the flight-to-safety observed in the data. The specific goal is to study how much these phenomena are explained by the...

I develop an open economy portfolio model to study how leveraged investors' wholesale funding affects the international transmission of shocks. Under binding borrowing limits, there is a link between the international investment positions of integrated economies as investors diversify the asset...

This study provides a rigorous empirical comparison of structural and reduced-formcredit risk frameworks. As major difference we focus on the discriminative modelingof the default time. In contrast to the previous literature, we calibrate both approaches to the same data set, apply comparable...

We build a model of the financial sector to explain why adverse asset shocks in good economic timeslead to a sudden drying up of liquidity. Financial firms raise short-term debt in order to finance assetpurchases. When asset fundamentals worsen, debt induces firms to risk-shift; this limits...

Die Erzielung eines positiven (statischen) Totalerfolgs ist die Voraussetzung fürdie steuerliche Wirksamkeit einer Investition. Diese fiskalische Einkünfteerzielungsabsicht decktsich jedoch nicht mit (dynamischen) betriebswirtschaftlichen Beurteilungskriterien, die ein Investorfür gewöhnlich...

The present paper examines the capital structure adjustment dynamics of listed non-financial corporations in seven East Asian countries during 1994-2002. Compared to firms in the least affected countries, average leverages were much higher among firms in the worst affected countries while the...

Hedge funds are major players in the international financial system and nimble investment strategies including the use of leverage allow them to build up large positions. Yet the monitoring of systemic risks posed by the build-up of leverage is hampered by incomplete information on hedge funds'...

In a financial system where balance sheets are continuously marked to market, asset price changes show up immediately in changes in net worth, and elicit responses from financial intermediaries, who adjust the size of their balance sheets. We document evidence that marked to market leverage is...