We propose a valuation method for financial assets subject to default risk, where investors cannot observe the state variable triggering the default but observe a correlated price process. The model is sufficiently general to encompass a large class of structural models and can be seen as a generalization of the model of Duffie and Lando (Econometrica 69:633–664, 2001). In this setting we prove...

An asset network systemic risk (ANWSER) model is presented to investigate the impact of how shadow banks are intermingled in a financial system on the severity of financial contagion. Particularly, the focus of this study is the impact of the following three representative topologies of an interbank loan network between shadow banks and regulated banks. (1) Random mixing network: shadow banks a...

Systemic risk is modeled as the endogenously chosen correlation of returns on assets held by banks. The limited liability of banks and the presence of a negative externality of one bank’s failure on the health of other banks give rise to a systemic risk-shifting incentive where all banks undertake correlated investments, thereby increasing economy-wide aggregate risk. Regulatory mechanisms such...

Conduct Security Assessment •Information Assets •Physical Assets Conduct Security Assessment •Information Assets •Physical Assets Assess Business Risk •Estimate Threats •Assign Probabilities of Loss Assess Business Risk •Estimate Threats •Assign Probabilities of Loss Develop Security Recommendations •Allocate Resources •Create Procedures Develop Security Recommendations •Allocate Resources •Cre...

This paper provides empirical evidence on life-cycle patterns in the asset allocation of Swedish households. Data on household portfolio allocation are collected from the HINK surveys for the period 1982-1992, and portfolio shares of different asset categories are regressed on age, period, and cohort dummies as well as socio-economic and demographic variables. There are evident differences in t...

This paper theoretically and empirically examines how industrial structure affects equity home bias. I embed portfolio choice in a multi-country, multi-sector Eaton-Kortum model in order to explore how sectoral productivity differences affect a country’s risk exposure and hence influence home bias. The model predicts that investors from highly specialized economies who want to hedge their risk ...

Projects in public-private partnerships, such as the Innovative Medicines Initiative (IMI), produce data services and platforms (digital assets) to help support the use of medical research data and IT tools. Maintaining these assets beyond the funding period of a project can be a challenge. The reason for that is the need to develop a business model that integrates the perspectives of all diffe...

Virtual currency represents a specific technological innovation on financial markets. Bitcoin and other cryptocurrencies are popular alternatives to traditional cash investment. We indicate research gap in the literature review. find out that current focused rarely portfolio diversification using bibliographic analysis VOSviewer. think is extremely important crypto market for most investors bec...

With analyzing the characteristics about Asset Management Company non-performing assets (NPAs) disposal, this article discussed the AMC’s non-performing assets with securitization disposal. Simultaneously, the AMC assets CDO multiple tranches structure was designed according to AMC reality in China. And the key problems in the CDO structure such as cash stream, credit lifting were discussed. Fi...