Discussion Papers

This paper has two main objectives: first, to provide a formal definition of endogenous systemic risk that is firmly grounded in equilibrium dynamics...

We identify a new class of uncountable-compact discounted stochastic games for which existence of stationary Markov equilibria can be established and...

For a discounted stochastic game with an uncountable state space and compact metric action spaces, we show that if the measurable-selection-valued...

Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...

Do Disaster risk and Fortune risk fetch a premium or discount in the pricing of individual assets? Disaster risk and Fortune risk are measures for the...

The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing...

We construct a model of a principal-agent game of network formation (over layered networks) with asymmetric information and we consider the following...

We answer the following question: Does regulating the banking network increase systemic risk in the entire financial network in the presence of...

We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with...

Many debt claims, such as bonds, are resaleable, whereas others, such as repos, are not. There was a fivefold increase in repo borrowing before the...

The Kelly Capital Growth Investment Strategy maximizes the expected utility of final wealth with a Bernoulli logarithmic utility function. In 1956...

While the debate on cost and market-value accounting has been raging for years, economists lack a framework allowing a comparison of their relative...

The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall...

This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous...

We study the implications of human capital hedging for international portfolio choice. First, we document that, at the household level, the degree of...

Since increasing a bank's capital requirement to improve the stability of the financial system imposes costs upon the bank, a regulator should ideally...