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and Schwartz (1995), and Collin-Dufresne and Goldstein (2001); and for endogenous default. ... we also discuss endogenous default, optimal capital structure, and related implied volatility in.

Equation (1) gives a decomposition ofthe asset returns into a “fundamental”component and an endogenous – or self-induced – component which is generatedby the fund’s own deleveraging and de-pends on ... 5. ket impact of CIO’s trading and

Keywords: Financial stability, stress testing, liquidity, systemic stress testing, macropru-dential regulation, macroprudential stress testing, endogenous risk, systemic risk, price-mediatedcontagion, indirect exposures. ... The reportidentifies the key

In the event the topics ofgreatest interest included option pricing andportfolio optimisation in incomplete markets, realoptions and endogenous exercise, full equilibriummodels and dynamic risk measures.

return ρt which is exogenous for any individual bank although endogenous in the aggregate.

Modern Monetary Circuit Theory, Stability of. Interconnected Banking Network, and Balance. Sheet Optimization for Individual Banks. Alexander Lipton. Bank of America and University of Oxford. October 27, 2015. Abstract. A modern version of Monetary

Challenges of integrating economics into epidemiological analysis of emerging infectious diseases Ciara Dangerfield1, Eli P. Fenichel2, David Finnoff3, Nick Hanley4, Shaun Hargreaves Heap5 Jason F. Shogren3, Flavio Toxvaerd6,7 1Isaac Newton

Farboodi, 2014] proposes a. 2. stylized model for the endogenous formation of intermediation links among debt financed bankswhose equilibria correspond to core-periphery network structures: all equilibria lead to exces-sive

Solution can be expressed in terms of a singlestate variable the ratio of internal cash to xed capital with an exogenouslower boundary (the nancing constraint) and an endogenous upper bound-ary ... Note that neither an external nancing premium or

In the event the topics ofgreatest interest included option pricing andportfolio optimisation in incomplete markets, realoptions and endogenous exercise, full equilibriummodels and dynamic risk measures.