Related papers: Does Collateral Value Affect Asset Prices? Evidenc…
The aim of this work is to propose an end-by-end modeling framework to evaluate the risk measures of a bank's portfolio of collateralized loans in an economy subject to the climate transition. The economy, organized in sectors, is driven by…
We study how loyalty behavior of customers and differing costs to produce undifferentiated products by firms can influence market outcomes. In prior works that study such markets, firm costs have generally been assumed negligible or equal,…
The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that…
Most existing automatic house price estimation systems rely only on some textual data like its neighborhood area and the number of rooms. The final price is estimated by a human agent who visits the house and assesses it visually. In this…
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact of a single trade depends on the…
Increased penetration of wind energy will make electricity market prices more volatile. As a result, market participants will bear increased financial risks, which impact investment decisions and in turn, makes it harder to achieve…
Since ancient times, what Chinese people have been pursuing is very simple, which is nothing more than "to live and work happily, to eat and dress comfortable". Today, more than 40 years after the reform and opening, people have basically…
In some research evaluation systems, credit awarded to an article depends on the number of co-authors on the article with total credit to the article increasing with the number of co-authors. There are many examples of such evaluation…
The authors examine the concept of probability of default for asset-backed loans. In contrast to unsecured loans it is shown that probability of default can be defined as either a measure of the likelihood of the borrower failing to make…
The 2022 rise in U.S. mortgage rates increased relocation costs for homeowners with low-rate mortgages. This cost varies across destinations because each draws workers from a different mix of labor markets. We build an in-migration…
Restaurants, cafes, pubs, and takeaways are among the most visible markers of neighborhood change, yet whether their arrival is capitalised into nearby housing values remains empirically unsettled. We assemble a London-wide panel linking…
In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consider collateralized OTC contracts, that…
Co-branding has become a widely used marketing strategy, yet little attention has been paid to its impact on a firm's stock value. Prior literature has shown that using a co-branding strategy properly helps firms leverage the brand value…
In a second-price auction with i.i.d. (independent identically distributed) bidder valuations, adding bidders increases expected buyer surplus if the distribution of valuations has a sufficiently heavy right tail. While this does not imply…
We depart from the usual methods for pricing contracts with the counterparty credit risk found in most of the existing literature. In effect, typically, these models do not account for either systemic effects or at-first-default contagion…
Debt aversion can have severe adverse effects on financial decision-making. We propose a model of debt aversion, and design an experiment involving real debt and saving contracts, to elicit and jointly estimate debt aversion with…
This paper measures the effects of temperature and precipitation shocks on Mexican inflation using a regional panel. To measure the long-term inflationary effects of climate shocks, we estimate a panel autoregressive distributed lag model…
The main result of this paper is a collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debit valuation adjustments (CVA, DVA) along with margining and funding…
Trading styles can be classified into either trend-following or mean-reverting. If the net trading style is trend-following the traded asset is more likely to move in the same direction it moved previously (the opposite is true if the net…
Urban housing markets, along with markets of other assets, universally exhibit periods of strong price increases followed by sharp corrections. The mechanisms generating such non-linearities are not yet well understood. We develop an…