Related papers: Debt Aversion: Theory and Measurement
We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov chain to model the default process, which is the set of all…
In recent years, real-world external controls have grown in popularity as a tool to empower randomized placebo-controlled trials, particularly in rare diseases or cases where balanced randomization is unethical or impractical. However, as…
To complete tasks faster, developers often have to sacrifice the quality of the software. Such compromised practice results in the increasing burden to developers in future development. The metaphor, technical debt, describes such practice.…
In economics and psychology, delay discounting is often used to characterize how individuals choose between a smaller immediate reward and a larger delayed reward. People with higher delay discounting rate (DDR) often choose smaller but…
We study a moral hazard problem with adverse selection: a risk-neutral agent can directly control the output distribution and possess private information about the production environment. The principal designs a menu of contracts satisfying…
I develop and estimate a dynamic equilibrium model of risky entrepreneurs' borrowing and savings decisions incorporating both formal and local-informal credit markets. Households have access to an exogenous formal credit market and to an…
Model risk measures consequences of choosing a model in a class of possible alternatives. We find analytical and simulated bounds for payoff functions on classes of plausible alternatives of a given discrete model. We measure the impact of…
A principal and an agent divide a surplus. Only the agent knows the surplus' true size and decides how much of it to reveal initially. Both parties can exert costly effort to conclusively prove the surplus' true size. The agent's liability…
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…
Technical Debt is a term used to classify non-optimal solutions during software development. These solutions cause several maintenance problems and hence they should be avoided or at least documented. Although there are a considered number…
Challenge Theory (Shye & Haber 2015; 2020) has demonstrated that a newly devised challenge index (CI) attributable to every binary choice problem predicts the popularity of the bold option, the one of lower probability to gain a higher…
In order to manage peak-grid events, utilities run incentive-based demand response (DR) programs in which they offer an incentive to assets who promise to curtail power consumption, and impose penalties if they fail to do so. We develop a…
Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself, what we call "second order risk." We propose a…
We consider an approach to credit risk in which the information about the time of bankruptcy is modelled using a Brownian bridge that starts at zero and is conditioned to equal zero when the default occurs. This raises the question whether…
This paper presents a new model for pricing financial derivatives subject to collateralization. It allows for collateral arrangements adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized…
This paper provides a comprehensive examination of the evolution of credit cards in the United States, tracing their historical development, causes, consequences, and impact on both individuals and the economy. It delves into the…
Accurately modeling human decision-making in security is critical to thinking about when, why, and how to recommend that users adopt certain secure behaviors. In this work, we conduct behavioral economics experiments to model the…
Mortgages account for the largest portion of household debt in the United States, totaling around \$12 trillion nationwide. In times of financial hardship, alleviating mortgage burdens is essential for supporting affected households. The…
This article aims to explore an empirical approach to analyze the macroeconomicsdeterminants of default of borrowers. For this purpose, we have measured the impact of the adverse economic conditions on the degradation of the credit…
I introduce novel preference formulations which capture aversion to ambiguity about unknown and potentially time-varying volatility. I compare these preferences with Gilboa and Schmeidler's maxmin expected utility as well as variational…