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Kinship and Financial Networks, Formal Financial Access, and Risk Reduction
Kinship Financial Networks
2014/9/10
Kinship networks are beneficial for smoothing consumption and investment, but the channels are not well understood. We study the financing devices used for consumption and investment by Thai household...
A clearing member of a Central Counterparty (CCP) is exposed to losses on their default fund and initial margin contributions. Such losses can be incurred whenever the CCP has insufficient funds to un...
On absolutely continuous compensators and nonlinear filtering equations in default risk models
Azema supermartingale default indicator absolutely continuous compensators pricing of default risk nonlinear filtering
2012/6/5
We discuss the pricing of defaultable assets in an incomplete information model where the default time is given by a first hitting time of an unobservable process. We show that in a fairly general Mar...
From Risk Measures to Research Measures
Bibliometric Indices Citations Risk Measures Scienti c Impact Measures Calibration Duality
2012/6/4
In order to evaluate the quality of the scientific research, we introduce a new family of scientific performance measures, called Scientific Research Measures (SRM). Our proposal originates from the m...
Large deviations for a mean field model of systemic risk
mean field large deviations systemic risk dynamic phase transitions
2012/4/28
We consider a system of diffusion processes that interact through their empirical mean and have a stabilizing force acting on each of them, corresponding to a bistable potential. There are three param...
Comparative and qualitative robustness for law-invariant risk measures
Law-invariant risk measure convex risk measure coherent risk measure Orlicz space qualitative robustness comparative robustness
2012/4/28
When estimating the risk of a P&L from historical data or Monte Carlo simulation, the robustness of the estimate is important. We argue here that Hampel's classical notion of qualitative robustness is...
The availability of credit varies over the business cycle through shifts in the
leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned...
We explore the extent to which Önancial conditions áuctuate due
to áuctuations in leverage, and thereby connect the recent literature
on banking crises with the ìleverage e§ectîof Fisher B...
Capital flows and the risk-taking channel of monetary policy
Bank leverage monetary policy capital fl ows risk-taking channel
2014/3/18
We study the dynamics linking monetary policy with bank leverage and show that adjustments
in leverage act as the linchpin in the monetary transmission mechanism that works through fluctuations...
Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type
quasiconvex functions dual representation complete duality L0-modules dynamic risk measures quasiconvex risk measures
2012/3/2
We provide a dual representation of quasiconvex conditional risk measures $% \rho $ defined on $L^{0}$ modules of the $L^{p}$ type. This is a consequence of more general result which extend the usual ...
Set-Valued Dynamic Risk Measures
dynamic risk measures transaction costs set-valued risk measures time consistency dual representation
2012/3/2
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are co...
Dividend Payments and Related Problems in a Markov-Dependent Insurance Risk Model under Absolute Ruin
Absolute Ruin Markov-Dependent Insurance Risk Model Debit Interest Moment-Generating Function
2013/2/19
In this paper, we study the dividend payments prior to absolute ruin in a Markov-dependent risk process in which the claim occurrence and the claim amount are regulated by an external discrete time Ma...
CORRELATED FAILURES, DIVERSIFICATION, AND INFORMATION SECURITY RISK MANAGEMENT
research on risk management computer network security management information systems diversification of computer software
2011/10/6
The article presents research on risk management related to computer network security in management information systems. A queuing model is presented to quantify the downtown loss faced by a network i...
Compensation and Risk Incentives in Banking and Finance
executive compensation contracts risk incentives risk-taking financial crisis
2011/10/5
We review why executive compensation contracts are often structured the way they are, analyze risk incentives stemming from various pay schemes, and examine the tendency of the banking and finance ind...
THE ROLE OF RETAIL BANKING IN THE U.S. BANKING INDUSTRY: RISK, RETURN, AND INDUSTRY STRUCTURE
the return in the U.S banking industry retail banking of the industry
2011/10/3
The article discusses the return in retail in the U.S. banking industry and offers some insight into why this strategic shift has occurred. It relates that the renewed interests in retail banking of t...