Models which integrate various financial stability risks are still in an early stage of development. In this paper we use the Macrofinancial Risk model (MfRisk) to construct a measure for financial stability. MfRisk applies the Merton option model in a multi-sector framework. We argue that this...

We investigate the capital structure of 350 Dutch insurers during the period 1995-2005. Our main findings are: (1) a small company size, a mutual organisation, high profitability, large equity investments, and being a fire insurer, all contribute to higher solvency margins; (2) minimum solvency...

This paper is the first that formally compares investment risk taking by pension funds and insurance firms. Using a unique and extended dataset that covers the volatile investment period 1995-2009, we find that, in the Netherlands, insurers take substantially less investment risk than pension...

In a world of perfect markets, primary insurers could hedge catastrophic risks using financial instruments. In practice however, most primary insurers deal with catastrophic risk by the use of a financial intermediary - a reinsurer. This paper uses insights gained from the institutional...

This study presents a core-periphery model to determine the optimal size of the European Stability Mechanism (ESM), building on Jeanne and Ranciere (2011). While the periphery is subject to a probability of losing access to external credit, the core's incentive for setting up an ESM stems...

This paper provides some history of deposit insurance and investor protection in the Netherlands against the background of the history of such protection in the European Union, EU-legislation and the recent changes in the design of financial supervision in the Netherlands. It discusses how...

In this paper we investigate how expected liquidation costs affect a firm's investment and financing decisions. We hypothesise that comovement of firm and industry sales measures such costs, which create a premium on external finance and make investment more sensitive to the availability of...

This paper argues that a special bank bankruptcy regime is desirable for the efficient restructuring and/or liquidation of distressed banks. We first explore the principal features of corporate bankruptcy law. Next, we examine the specific characteristics that distinguish banks from other...

This paper examines the predictive power of weather for electricity prices in day ahead markets in real time. We find that next-day weather forecasts improve the forecast accuracy of Scandinavian day-ahead electricity prices substantially in terms of point forecasts, suggesting that weather...

This paper discusses the method of comonotonicity to estimate the sum of risks. Two applications are presented. First, we estimate a property insurer.s exposure to claims after a severe storm. Second, we apply our approach to a pension fund.s investment risk to estimate the prospective total...