This paper experimentally studies the impact of uncertainty about bank and borrower fundamentals on loan repayment. We find that solvent borrowers are more likely to default strategically when stricter disclosure creates common knowledge about bank weakness. Borrowers are also less likely to...

The paper assesses the degree of banking competition and efficiency in Italy?over time as well as compared to that in other countries, such as France, Germany, Spain, the United Kingdom, and the United States. The paper finds competition in the Italian banking sector has intensified in loan and...

This paper examines the generation of financial crises in developing economies and shows that the microeconomic structure of the financial sector is a crucial factor in creating the conditions for a crisis. Structural problems of the financial system in developing countries, including implicit...

We present a new method to examine financial contagion, defined as a sudden strengthening of shock transmission between financial markets. In particular, we develop a correlation-like measure of synchronicity between markets that is straightforward to implement while being insensitive to...

In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value theory (EVT) framework. We consider the heavy-tailness of the risk factors as well a non-parametric tail dependence structure. This allows a large scope of models on the dependency. We...

This paper studies the effects of verbal interventions by European cen-tral bankers on high-frequency euro-dollar exchange rates. We find that ECB verbal interventions have had only small and short-lived effects. Ver- bal interventions which are reported in news report headlines are more likely...

The empirical evidence of heavy tails in stock return data is recognised by risk managers as an important factor in assessing the Value-at-Risk and risk profile of investment portfolios. Tail index estimation appears to be a tailor-made tool for estimating the extreme quantiles of heavy tailed...

This paper provides new field evidence on risk preferences over small stakes. Using unique population and survey data on deductible choice in Dutch universal health insurance, we find that risk preferences are a dominant factor in decision aking. In fact, our results indicate that risk...

In this paper we study why, and when, and in what form, a satisficing strategy is a better bet for survival, than a strategy which uses the best available information in attempting to optimize the outcome. We prove that, under severe uncertainty, a robust-satisficing decision has a better...