This report covers the period October2001 to December 2002: the fifth yearand part of the sixth year of the ESRCCentre for Analysis of Social Exclusion.■ During 2002, the Centre’s work duringits first five years was positively reviewed,and ESRC funding was renewed for afurther five years,...

This report covers the third year of the ESRC Research Centre for Analysis of Social Exclusion (CASE) fromOctober 1999 to September 2000.The Centre’s objectives are to develop understanding within five broad areas: income mobility and economicexclusion; the role of social welfare institutions;...

This report covers the second year of the ESRC Research Centre for Analysis ofSocial Exclusion (CASE) from October 1998 to September 1999. The year sawincreased activity and output from the previous year.The Centre’s objectives are to develop understanding within five broad areas:income...

In this paper we propose the GHADA risk management model that is based on the generalizedhyperbolic (GH) distribution and on a nonparametric adaptive methodology. Comparedto the normal distribution...

We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex-post resolution of this uncertainty in financial markets. We measure macroeconomic uncertainty using prices of economic derivatives and relate this measure to changes in implied...

Much has been written in the press about the current global credit crisis and the consequences on the real economy. We want to take a step back and take stock of what we think should be the lessons learnt from an investment practicioner's point of view in order to avoid repeating the same...

This paper argues that the level of financial services provision determines the riskmanagement strategies among the poor. The paper estimates the determinants of thehousehold’s use of one, two or all three types of microfinancial services applying orderedprobit models and additionally probit...

Many policy makers and economists argue that financial literacy is key to financial well-being. But why do many individuals remain financially illiterate despite the apparent importance of being financially informed? This paper presents results of a field study linking individual decisions to...

We study the extremal dependence of market and liquidity risk, the former beingmeasured through the market return and the latter being measured throughthe relative bid-ask spread. We apply a non-parametrical approach to measurebivariate exceedance probabilities and the respective dependence...