The Centre has a regular discussion paper series dedicated to academic research, as well as a special paper series focused on policy analysis. In addition, affiliated researchers publish a variety of books, reports and opinion pieces.

Discussion Papers

Nov 2015

DP 50

This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous trading models based on random matching or exogenous networks, we allow traders to explicitly choose...

Discussion Papers

Nov 2015

DP 49

The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall (ES) are constructed. Similar maps for the sensitivity of the portfolio weights to small changes...

Discussion Papers

Oct 2015

DP 48

We study the implications of human capital hedging for international portfolio choice. First, we document that, at the household level, the degree of home country bias in equity holdings is increasing in the labor income to financial wealth ratio....

Discussion Papers

Sep 2015

DP 47

Since increasing a bank's capital requirement to improve the stability of the financial system imposes costs upon the bank, a regulator should ideally be able to prove beyond a reasonable doubt that banks classified as systemically risky really...

Discussion Papers

Sep 2015

DP 46

We study effort and risk-taking behaviour in an economy with a continuum of principal-agent pairs where each agent exerts costly hidden effort. When the industry productivity is uncertain, agents have motivations to match the industry average effort...

Discussion Papers

Sep 2015

DP 45

Economics and game theory are replete with examples of parameterized games. We show that all minimal Nash payoff USCOs belonging to the Nash equilibrium correspondence of a parameterized game with payoff functions that are uniformly equicontinuous...

Discussion Papers

Sep 2015

DP 44

For a discounted stochastic game with an uncountable state space and compact metric action spaces, we show that if the measurable-selection-valued, Nash payoff selection correspondence of the underlying one-shot game contains a sub-correspondence...

Discussion Papers

Sep 2015

DP 43

We establish a new fixed point result for measurable-selection-valued correspondences with nonconvex and possibly disconnected values arising from the composition of Caratheodory functions with an upper Caratheodory correspondence. We show that, in...

Discussion Papers

Jul 2015

DP 42

Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential risks caused by their systemic interactions. We investigate a simple dynamical model for...

Discussion Papers

Jul 2015

DP 41

We analyse bank runs under fundamental and asset liquidity risk, adopting a realistic description of bank default. We obtain an unique run equilibrium, even as fundamental risk becomes arbitrarily small. When safe returns are securitized and pledged...