Using unique data on condominium transactions that allow for accurately-measured capital gains and losses, we examine the impact of these gains and losses on homeowner decisions. Consistent with the disposition effect, owners with a gain have higher sell propensities than those with a loss. Since real estate prices result from owner negotiations with buyers and tenants, we also examine whether ...

In this paper we study copula-based models for aggregation of operational risk capital across business lines in a bank. A commonly used method of summation of the value-at-risk (VaR) measures, that relies on a hypothesis of full correlation of losses, becomes inappropriate in the presence of dependence between business lines and may lead to over-estimation of the capital charge. The problem can...

The amount of capital necessary to support a portfolio of debt securities depends on the probability distribution of the portfolio loss. Consider a portfolio of loans, each of which is subject to default resulting in a loss to the lender. Suppose the portfolio is financed partly by equity capital and partly by borrowed funds. The credit quality of the lender's notes will depend on the probabili...

We study the no arbitrage characterization of asset prices in the presence of capital gains and income taxes. The distinguishing feature of our analysis is that we impose on the model two important features of the tax code that have received little attention in the academic literature: the limited use of capital losses and the inability to wash sell. We show that under remarkably mild condition...

The amount of capital necessary to support a portfolio of debt securities depends on the probability distribution of the portfolio loss. Consider a portfolio of loans, each of which is subject to default resulting in a loss to the lender. Suppose the portfolio is financed partly by equity capital and partly by borrowed funds. The credit quality of the lender's notes will depend on the probabili...

This book concerns capital flight in developing countries: How big is it? What causes it? How are we to interpret it? What are its effects? What can be done about it? The core of the book consists of seven case studies of capital flight from developing countries Turkey and a set of Middle Eastern and North African countries) connected by a common methodology used to estimate capital flight. The...

This paper studies capital allocation problem based on minimizing loss functions. Two capital allocation models based on the Mean-Variance principle are proposed. General formulas for optimal capital allocations for both models are derived according to quadratic distance measure. In particular, we discuss centrally symmetric distributions and gamma distributions. Some numerical examples are giv...

— China is being in the important time of economical reforming, which was still imperfect. As a result of the immature capital system, listed companies often had the loss situation .For the comparison between different loss frequency listed companies in redemption ability, operational capacity ,profit ability as well as development potential differences, this article will have 2003 to 2010 betw...