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Asset pricing in a pure exchange economy with heterogeneous investors 异质投资者纯交换经济下的资产定价
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-05-29 DOI: 10.1007/s11579-020-00266-x
Xinfeng Ruan, Jin E. Zhang
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引用次数: 1
Systemic credit freezes in financial lending networks 金融借贷网络的系统性信贷冻结
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-05-01 DOI: 10.3386/w27149
Daron Acemoglu, A. Ozdaglar, James Siderius, A. Tahbaz-Salehi
{"title":"Systemic credit freezes in financial lending networks","authors":"Daron Acemoglu, A. Ozdaglar, James Siderius, A. Tahbaz-Salehi","doi":"10.3386/w27149","DOIUrl":"https://doi.org/10.3386/w27149","url":null,"abstract":"This paper develops a network model of interbank lending, in which banks decide to extend credit to their potential borrowers. Borrowers are subject to shocks that may force them to default on their loans. In contrast to much of the previous literature on financial networks, we focus on how anticipation of future defaults may result in ex ante “credit freezes,” whereby banks refuse to extend credit to one another. We first characterize the terms of the interbank contracts and the patterns of interbank lending that emerge in equilibrium. We then study how shifts in the distribution of shocks can result in complex credit freezes that travel throughout the network. We use this framework to analyze the effects of various policy interventions on systemic credit freezes.","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"35 1","pages":"185-232"},"PeriodicalIF":1.6,"publicationDate":"2020-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81059130","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Compound Poisson models for weighted networks with applications in finance 加权网络的复合泊松模型及其在金融中的应用
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-04-13 DOI: 10.2139/ssrn.3401059
A. Gandy, L. Veraart
{"title":"Compound Poisson models for weighted networks with applications in finance","authors":"A. Gandy, L. Veraart","doi":"10.2139/ssrn.3401059","DOIUrl":"https://doi.org/10.2139/ssrn.3401059","url":null,"abstract":"We develop a modelling framework for estimating and predicting weighted network data. The edge weights in weighted networks often arise from aggregating some individual relationships between the nodes. Motivated by this, we introduce a modelling framework for weighted networks based on the compound Poisson distribution. To allow for heterogeneity between the nodes, we use a regression approach for the model parameters. We test the new modelling framework on two types of financial networks: a network of financial institutions in which the edge weights represent exposures from trading Credit Default Swaps and a network of countries in which the edge weights represent cross-border lending. The compound Poisson Gamma distributions with regression fit the data well in both situations. We illustrate how this modelling framework can be used for predicting unobserved edges and their weights in an only partially observed network. This is for example relevant for assessing systemic risk in financial networks.","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"11 1","pages":"131-153"},"PeriodicalIF":1.6,"publicationDate":"2020-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76060319","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
No–arbitrage commodity option pricing with market manipulation 无套利商品期权定价与市场操纵
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-04-02 DOI: 10.1007/s11579-020-00265-y
R. Aïd, Giorgia Callegaro, L. Campi
{"title":"No–arbitrage commodity option pricing with market manipulation","authors":"R. Aïd, Giorgia Callegaro, L. Campi","doi":"10.1007/s11579-020-00265-y","DOIUrl":"https://doi.org/10.1007/s11579-020-00265-y","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"29 1","pages":"577 - 603"},"PeriodicalIF":1.6,"publicationDate":"2020-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83420113","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
No arbitrage in continuous financial markets 在连续的金融市场中没有套利
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-03-14 DOI: 10.1007/s11579-020-00262-1
David Criens
{"title":"No arbitrage in continuous financial markets","authors":"David Criens","doi":"10.1007/s11579-020-00262-1","DOIUrl":"https://doi.org/10.1007/s11579-020-00262-1","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"571 1","pages":"461 - 506"},"PeriodicalIF":1.6,"publicationDate":"2020-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81436780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Consumption and portfolio decisions with uncertain lifetimes 具有不确定寿命的消费和投资组合决策
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-03-13 DOI: 10.1007/s11579-020-00263-0
Shou-ting Chen, Richard Fu, Lei Wedge, Ziran Zou
{"title":"Consumption and portfolio decisions with uncertain lifetimes","authors":"Shou-ting Chen, Richard Fu, Lei Wedge, Ziran Zou","doi":"10.1007/s11579-020-00263-0","DOIUrl":"https://doi.org/10.1007/s11579-020-00263-0","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"38 1","pages":"507 - 545"},"PeriodicalIF":1.6,"publicationDate":"2020-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78128786","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
A generalized stochastic differential utility driven by G-Brownian motion 由g -布朗运动驱动的广义随机微分效用
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-03-12 DOI: 10.1007/s11579-020-00264-z
Qian Lin, D. Tian, Weidong Tian
{"title":"A generalized stochastic differential utility driven by G-Brownian motion","authors":"Qian Lin, D. Tian, Weidong Tian","doi":"10.1007/s11579-020-00264-z","DOIUrl":"https://doi.org/10.1007/s11579-020-00264-z","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"16 1","pages":"547 - 576"},"PeriodicalIF":1.6,"publicationDate":"2020-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88847031","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
How safe are central counterparties in credit default swap markets? 信用违约互换市场的中央对手方有多安全?
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-03-09 DOI: 10.1007/s11579-019-00243-z
M. Paddrik, H. Young
{"title":"How safe are central counterparties in credit default swap markets?","authors":"M. Paddrik, H. Young","doi":"10.1007/s11579-019-00243-z","DOIUrl":"https://doi.org/10.1007/s11579-019-00243-z","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"24 1","pages":"41 - 57"},"PeriodicalIF":1.6,"publicationDate":"2020-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80909902","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration 布朗过滤中一些时间不一致风险测度的动态表示
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-02-24 DOI: 10.1007/s11579-020-00261-2
J. Backhoff-Veraguas, Ludovic Tangpi
{"title":"On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration","authors":"J. Backhoff-Veraguas, Ludovic Tangpi","doi":"10.1007/s11579-020-00261-2","DOIUrl":"https://doi.org/10.1007/s11579-020-00261-2","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"38 1","pages":"433 - 460"},"PeriodicalIF":1.6,"publicationDate":"2020-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73910287","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Capital allocation rules and acceptance sets 资本配置规则和接受设置
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-02-19 DOI: 10.2139/ssrn.3541568
G. Canna, F. Centrone, Emanuela Rosazza Gianin
{"title":"Capital allocation rules and acceptance sets","authors":"G. Canna, F. Centrone, Emanuela Rosazza Gianin","doi":"10.2139/ssrn.3541568","DOIUrl":"https://doi.org/10.2139/ssrn.3541568","url":null,"abstract":"This paper introduces a new approach to face capital allocation problems from the perspective of acceptance sets, by defining the family of sub-acceptance sets. We study the relations between the notions of sub-acceptability and acceptability of a risky position as well as their impact on the allocation of risk. We define the notion of risk contribution rule and show how in this context it is interpretable as a tool for assessing the contribution of a sub-portfolio to a given portfolio in terms of acceptability without necessarily involving a risk measure. Furthermore, we investigate under which conditions on a risk contribution rule a representation of an acceptance set holds in terms of the risk contribution rule itself, thus extending to this setting the interpretation, classical in risk measures theory, of minimal amount required to hedge a risky position.","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"1 1","pages":"759-781"},"PeriodicalIF":1.6,"publicationDate":"2020-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86534989","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
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