Fixed rate versus adjustable rate mortgages: Evidence from euro area banks
status: published
status: published
status: published
Previous research has focused on a private equity (PE) firm's role as principal in its relationship with an investee, but few studies have looked into their role as agents for their investors. We examine how a PE firm's relationship as agent for limited partners (LPs) and banks influences its incentives to resolve financial distress in the investee...
This paper investigates the trade-offs of introducing an extra line of credit in an emergency situation with a quantitative sovereign default model. I show that temporary access to these lines for up to 3 percent of mean annual income during low liquidity periods yields long-term effects with a lower cost of borrowing but with incentives to accumul...
status: published
We present a valuation formula for convertible bonds with regime-switching market conditions by de-composing the convertible bond into a coupon-bearing bond and the American-type exchange option. A coupon-bearing bond component is modeled with a four-factor model: a two-factor affine model for the risk-free rate and a two-factor affine model with s...
10.1111/ijsw.12426 / INTERNATIONAL JOURNAL OF SOCIAL WELFARE / 30 / 1 / 17-29
We incorporate structural modellers into the economy they model. Using traditional moment-matching, they treat policy changes as zero probability (or exogenous) ”counterfactuals.” Bias occurs since real-world agents understand policy changes are positive probability events guided by modellers. Downward, upward, or sign bias occurs. Bias is illustra...