"We develop a theoretical model of illiquidity, in which illiquid assets are being traded by two agents -- buyers and sellers. Illiquidity is defined as the expected time it takes a seller to sell his asset at the optimal price. The theoretical model is developed in the context of transactions...

This paper develops a theoretical model that explains how long-term consumption goals influence households' choice of real assets in situations when these assets have no investment value. Using a suburban residential housing market that exemplifies such a market, we develop a general equilibrium...

Our empirical study analyzes house search duration in íhotî (rising prices) and ícoldî (declining prices) housing markets. It focuses on the effect of householdsí ex ante holding horizon ñ or the expected housing tenure at the time of their search ñ on the realized search duration. Our...

In this paper, we present a procedure for consistent estimation of the severity and frequency distributions based on incomplete insurance data and demonstrate that ignoring the thresholds leads to a serious underestimation of the ruin probabilities. The event frequency is modelled with a...

The recently finalized Basel II Capital Accord requires banks to adopt a procedure to estimate the operational risk capital charge. Under the Advanced Measurement Approaches, that are currently mandated for all large internationally active US banks, require the use of historic operational loss...

How does business complexity affect risk management in financial institutions? The commonly used risk measures rely on either balance-sheet or market-based information, both of which may suffer from identification problems when it comes to answering this question. Balance-sheet measures, such as...

In this paper, we present a procedure for consistent estimation of the severity and frequency distributions based on incomplete insurance data and demonstrate that ignoring the thresholds leads to a serious underestimation of the ruin probabilities. The event frequency is modelled with a...

The recently finalized Basel II Capital Accord requires banks to adopt a procedure to estimate the operational risk capital charge. Under the Advanced Measurement Approaches, that are currently mandated for all large internationally active US banks, require the use of historic operational loss...

In this paper, we present a procedure for consistent estimation of the severity and frequency distributions based on incomplete insurance data and demonstrate that ignoring the thresholds leads to a serious underestimation of the ruin probabilities. The event frequency is modelled with a...

In this paper, we present a procedure for consistent estimation of the severity and frequency distributions based on incomplete insurance data and demonstrate that ignoring the thresholds leads to a serious underestimation of the ruin probabilities. The event frequency is modelled with a...