Discussion Papers

We present a model of the maturity of a bank’s uninsured debt. The bank borrows funds and chooses afterwards the riskiness of its assets. This moral...

In this paper we study how the use of collateral is evolving under the influence of regulatory reform and changing market structure. We start with a...

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models...

This paper contributes to a growing literature on the pitfalls of diversification by shedding light on a new mechanism under which, full risk...

This paper presents a policy proposal for building a new framework for gathering, measuring and disclosing financial risk information in the global...

The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the...

We study a general equilibrium model in which firms choose their capital structure optimally, trading off the tax advantages of debt against the risk...

We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged...

In this paper, the authors apply a continuous time stochastic process model developed by Shiryaev and Zhutlukhin for optimal stopping of random price...

One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting...

Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality...

We present a model of an economy with heterogeneous banks that may be funded with uninsured deposits and equity capital. Capital serves to ameliorate...

The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that...

We study managerial incentive provision under moral hazard in a firm subject to stochastic growth opportunities. In our model, managers are dismissed...