Showing 1 - 10 of 120
We develop, and apply to data on U.S. corporations from 1979-2004, tests of the standard doubly-stochastic assumption under which firms'default times are correlated only as implied by the correlation of factors determining their default intensities. This assumption is violated in the presence of...
Persistent link: https://www.econbiz.de/10005036811
Persistent link: https://www.econbiz.de/10005210517
Persistent link: https://www.econbiz.de/10010867563
Engineering and operations management decisions have become increasingly complex as a result of recent advances in information technology. The increased ability to access and communicate information has resulted in expanded system domains consisting of multiple agents, each exhibiting autonomous...
Persistent link: https://www.econbiz.de/10010939786
We investigate whether the volatility risk premium is negative by examining the statistical properties of delta-hedged option portfolios (buy the option and hedge with stock). Within a stochastic volatility framework, we demonstrate a correspondence between the sign and magnitude of the...
Persistent link: https://www.econbiz.de/10005447324
We document that short-horizon pricing discrepancies across firms' equity and credit markets are common and that an economically significant proportion of these are anomalous, indicating a lack of integration between the two markets. Proposing a statistical measure of market integration, we...
Persistent link: https://www.econbiz.de/10010617606
Persistent link: https://www.econbiz.de/10012041610
This submission discusses implications for the quality and safety of financial markets of proposed rules implementing the market-making provisions of section 13 of the Bank Holding Company Act, commonly known as the “Volcker Rule.” The proposed rules1 have been described by the Office of the...
Persistent link: https://www.econbiz.de/10009504446
I explain the key failure mechanics of large dealer banks, and some policy implications. This is not a review of the Financial crisis of 2007-2009. Systemic risk is considered only in passing. Both the Financial crisis and the systemic importance of large dealer banks are nevertheless obvious...
Persistent link: https://www.econbiz.de/10009506972
This note discusses the case for exempting foreign exchange derivatives from recent regulatory requirements for over-the-counter derivatives, including clearing, trade competition, and minimum collateral requirements. My conclusion is that the arguments that have been made for such an exemption...
Persistent link: https://www.econbiz.de/10010259911