This paper generalizes the existing asymptotic single-factor model to address issues related to industry heterogeneity, default clustering and capital requirement s parameter uncertainty in US retail loan portfolios. We argue that the Basel II capital requirement overstates the riskiness of...

In this paper, we empirically investigate the impact of the credit risk of Eurozone member countries on the stability of the Euro. In practice, in the absence of eurobonds, euro-area credit risk is induced though the credit default swaps of the member countries. The stability of the euro is...

This paper generalizes the existing asymptotic single-factor model to address issues related to industry heterogeneity, default clustering and parameter uncertainty of capital requirement in US retail loan portfolios. We argue that the Basel II capital requirement overstates the riskiness of...

In this paper we investigate the importance of different loss functions when estimating and evaluating option pricing models. Our analysis shows that it is important to take into account parameter uncertainty, since this leads to uncertainty in the predicted option price. We illustrate the...

This paper contributes to the literature about tax havens by providing a more comprehensive analysis of their role. The aim is to analyze how low tax jurisdictions can react to growing international pressure exerted by high tax countries to enforce compliance with anti-tax planning standards. To...

This paper presents one kind of heterogeneous strategies in some differential games where one player plays open-loop strategy and the other one plays Markovian strategy. On top of the stationary path, this kind of strategies enable the study of trajectory dynamics, even for asymmetric players’...

Saving rates and household investment in stocks and business equity are all increasing in income and wealth. Introducing subsistence consumption to a common-across-households Epstein-Zin-Weil utility function is up to a quantitative explanation, in the context of stan- dardized parsimonious...

This paper studies how the choice of fixed or flexible exchange rate regimes is affected by the existence of intensive and extensive margins. We study two models where firms enter during or before each period of production. We show how the the choice of those regimes depend on the level and the...

We develop a model where workers both choose their residential location (geographical space) and social interactions (social space). In equilibrium, we show under which condition the majority group resides close to the job center while the minority group lives far away from it. Even though the...

While most of the literature on the determination of real exchange rates is focused on the role of standard macroeconomic variables, there exists how- ever a few papers that are more concerned by the impact of factors which are usually considered to play a key role in the process of economic...