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Forecasting the fragility of the banking and insurance sector

Bernoth, Kerstin; Pick, Andreas - 2009

This paper considers the issue of forecasting financial fragility of banks and insurances using a panel data set of performance indicators, namely distance-to- default, taking unobserved common factors into account. We show that common factors are important in the performance of banks and...

Persistent link: https://www.econbiz.de/10003832732

Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis … ; Liquidity Risk ; Credit Risk ; Stochastic Volatility …

Persistent link: https://www.econbiz.de/10009129975

Sovereign risk, interbank freezes, and aggregate fluctuations

Engler, Philipp; Große Steffen, Christoph - 2014

This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank...

Persistent link: https://www.econbiz.de/10010457931

Flight-to-liquidity and the great recession

Radde, Sören - 2012

This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business … idiosyncratic funding liquidity risk in their intermediation activity. Importantly, the amount of liquidity reserves held in the … liquidity, which amplifies the initial shock and induces credit crunch dynamics sharing key features with the Great Recession …

Persistent link: https://www.econbiz.de/10009665427

Strategic path reliability in information networks

Kannan, Rajgopal; Sarangi, Sudipta; Iyengar, Sundaraja … - 2002

We consider a model of an information network where nodes can fail and transmission of information is costly. The formation of paths in such networks is modeled as the Nash equilibrium of an N player routing game. The task of obtaining this equilibrium is shown to be NP-Hard. We derive...

Persistent link: https://www.econbiz.de/10011436398

Nash networks with heterogeneous agents

Haller, Hans; Sarangi, Sudipta - 2003

A non-cooperative model of network formation is developed. Agents form links with others based on the cost of the link and its assessed benefit. Link formation is one-sided, i.e., agents can initiate links with other agents without their consent, provided the agent forming the link makes the...

Persistent link: https://www.econbiz.de/10011437900

Information acquisition in vertical relations

Baake, Pio; Harasser, Andreas; Heiny, Friederike - 2016

We analyze a simple supply chain with one supplier, one retailer and uncertainty about market demand. Focusing on the incentives of the supplier and the retailer to enhance their private information about the actual market conditions, we show that choices on information acquisition are strategic...

Persistent link: https://www.econbiz.de/10011421833

Pass/fail, A-F, or 0-100? : optimal grading of eager students

Wagner, Lilo - 2015

This paper analyzes optimal grading in a world that focuses on top grades. Students choose an effort level, their performance is graded, and their grade correlates with their future income. Ex-ante, the policy maker chooses the optimal coarseness of the grading scale to maximize student welfare....

Persistent link: https://www.econbiz.de/10010474216

Media and occupational choice

Konon, Alexander; Kritikos, Alexander - 2017

We address the question of whether media influences occupational choices. To theoretically examine media effects, we construct a dynamic Bayesian occupational choice model with sequential decisions under ambiguity due to imperfect information. We show that sufficiently intensive positive media...

Persistent link: https://www.econbiz.de/10011716183

Corporate espionage

Billand, Pascal; Bravard, Christophe; Chakrabarti, Subhadip - 2009

We consider a multimarket framework where a set of firms compete on two interrelated oligopolistic markets. Prior to competing in these markets, firms can spy on others in order to increase the quality of their product. We characterize the equilibrium espionage networks and networks that...

Persistent link: https://www.econbiz.de/10003796413

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