Related papers: Does Collateral Value Affect Asset Prices? Evidenc…
We show how the cost of funding the collateral in a particular set up can be equal to the Bilateral Valuation Adjustment with the "funded" probability of default, leading to the definition of a Funded Bilateral Valuation Adjustment (FBVA).…
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap…
The standard asset pricing models (the CCAPM and the Epstein-Zin non-expected utility model) counterintuitively predict that equilibrium asset prices can rise if the representative agent's risk aversion increases. If the income effect,…
Do home prices incorporate flood risk in the immediate aftermath of specific flood events, or is it the repeated exposure over the years that plays a more significant role? We address this question through the first systematic study of the…
In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have found that there exists irremovable…
In this study, we evaluate the effects of natural disasters on the stock (market) values of firms located in the affected counties. We are able to measure the change in stock prices of the firms affected by the 2021 Texas winter storm. To…
We define what "Price Impact" means, and how it is measured and modelled in the recent literature. Although this notion seems to convey the idea of a forceful and intuitive mechanism, we discuss why things might not be that simple.…
We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas and show that they are well described by a bivariate…
One important effect of price shocks in the United States has been increased political attention paid to the structure and performance of oil and natural gas markets, along with some governmental support for energy conservation. This paper…
This submission to the Irish Commission on Taxation and Welfare advocates the introduction of a site value tax in Ireland. Ireland has high and volatile property prices, constraining social and economic development. Site values are the main…
The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive…
An accurate prediction of house prices is a fundamental requirement for various sectors including real estate and mortgage lending. It is widely recognized that a property value is not solely determined by its physical attributes but is…
The pricing of housing properties is determined by a variety of factors. However, post-pandemic markets have experienced volatility in the Chicago suburb area, which have affected house prices greatly. In this study, analysis was done on…
Electricity markets are changing, driven by large-scale renewable integration and rising demand from electrification and digitalisation. This raises fundamental questions about how electricity prices form as the relationships among key…
Social inflation, which is the rise in liability claim costs beyond general economic inflation, has become a major concern for insurers and reinsurers, yet it is difficult to quantify because litigation outcomes are heavy-tailed and the mix…
Historical trends suggest the decline in importance of land as a production factor but its continued importance as a store of value. Using an overlapping generations model with land and aggregate uncertainty, we theoretically study the…
This study has investigated the mortality rate of parties at real estate auctions compared to that of the overall population in South Korea by using various variables, including age, real estate usage, cumulative number of real estate…
Prior literature has argued that flood insurance maps may not capture the extent of flood risk. This paper performs a granular assessment of coastal flood risk in the mortgage market by using physical simulations of hurricane storm surge…
A multi-dimensional extension of the structural default model with firms' values driven by diffusion processes with Marshall-Olkin-inspired correlation structure is presented. Semi-analytical methods for solving the forward calibration…
This study quantifies how contract duration influences buyers' willingness-to-pay (WTP) when they hold real options that allow them to flexibly time consumption in response to changing market conditions. Using contract data from the US…