Outputs (50)

CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family (2020)
Journal Article
Dowd, K., Cairns, A., & Blake, D. (2020). CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family. Annals of Actuarial Science, 14(2), 445-460. https://doi.org/10.1017/s1748499520000159

The purpose of this paper is to identify a workhorse mortality model for the adult age range (i.e., excluding the accident hump and younger ages). It applies the “general procedure” (GP) of Hunt & Blake [(2014), North American Actuarial Journal, 18,... Read More about CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family.

Shadow banking in China compared to other countries (2020)
Journal Article
Allen, F., & Gu, X. (2021). Shadow banking in China compared to other countries. Manchester School, 89(5), 407-419. https://doi.org/10.1111/manc.12331

China's shadow banking has been rising rapidly in the last decade, mainly driven by regulations for banks, the Fiscal Stimulus Plan in 2008 and credit constraints in restrictive industries. This sector has continued growing although the regulators re... Read More about Shadow banking in China compared to other countries.

Government connections and credit access around the world: Evidence from discouraged borrowers (2020)
Journal Article
Qi, S., & Nguyen, D. (2021). Government connections and credit access around the world: Evidence from discouraged borrowers. Journal of International Business Studies, 52(2), 321-333. https://doi.org/10.1057/s41267-020-00341-x

Motivated by the international business literature that examines the interactions between organizations, corruption, and political forces, we examine whether and how government connections affect small and medium-sized enterprises’ (SMEs) credit acce... Read More about Government connections and credit access around the world: Evidence from discouraged borrowers.

Do Government Expenditures and Institutions Drive Growth? Evidence from Developed and Developing Economies (2020)
Journal Article
Zahirah Mohd Sidek, N., & Asutay, M. (2021). Do Government Expenditures and Institutions Drive Growth? Evidence from Developed and Developing Economies. Studies in Economics and Finance, 38(2), 400-440. https://doi.org/10.1108/sef-10-2019-0412

Purpose – Most empirical studies on the government expenditure-economic growth nexus suggest a negative relationship between the size of the government expenditures and economic growth especially government consumption expenditures. Given these findi... Read More about Do Government Expenditures and Institutions Drive Growth? Evidence from Developed and Developing Economies.

Are CoCo Bonds Suitable as Core Capital Instruments? (2020)
Journal Article
Dowd, K. (2020). Are CoCo Bonds Suitable as Core Capital Instruments?. Journal of New Finance, 1(1), https://doi.org/10.46671/2521-2486.1000

Basel III introduced significant innovations in bank regulation. One of them is the minimum required leverage ratio. To help banks implementing the new measure , Basel III created two different core capital measures: Common Equity Tier 1 (CET1) and A... Read More about Are CoCo Bonds Suitable as Core Capital Instruments?.

Dealers' incentives to reveal their names (2020)
Journal Article
Karam, A. (2022). Dealers' incentives to reveal their names. Financial Review, 57(1), 27-44. https://doi.org/10.1111/fire.12229

This research investigates dealers' motivation to disclose their names when quoting on the NASDAQ over the years. NASDAQ enables dealers to quote limit orders either anonymously or with a feature that reveals their names. Results are consistent with... Read More about Dealers' incentives to reveal their names.

Liquidity Risk Exposure and its Determinants in the Banking Sector: A Comparative Analysis between Islamic, Conventional and Hybrid Banks (2020)
Journal Article
Mohammad, S., Asutay, M., Dixon, R., & Platonova, E. (2020). Liquidity Risk Exposure and its Determinants in the Banking Sector: A Comparative Analysis between Islamic, Conventional and Hybrid Banks. Journal of International Financial Markets, Institutions and Money, 66, Article 101196. https://doi.org/10.1016/j.intfin.2020.101196

This study aims to explore and examine the liquidity risk that Islamic banks are exposed to in a comparison with conventional and hybrid banks in the case of 145 commercial banks for the period of 1996–2015. This study also examines the factors deter... Read More about Liquidity Risk Exposure and its Determinants in the Banking Sector: A Comparative Analysis between Islamic, Conventional and Hybrid Banks.

Forecasting Options Prices Using Discrete Time Volatility Models Estimated at Mixed Timescales (2020)
Journal Article
Calice, G., Chen, J., & Williams, J. (2020). Forecasting Options Prices Using Discrete Time Volatility Models Estimated at Mixed Timescales. The journal of derivatives, 27(3), 45-74. https://doi.org/10.3905/jod.2019.1.094

Option pricing models have traditionally utilized continuous-time frameworks to derive solutions or Monte Carlo schemes to price the contingent claim. Typically these models were calibrated to discrete-time data using a variety of approaches. Recent... Read More about Forecasting Options Prices Using Discrete Time Volatility Models Estimated at Mixed Timescales.

Who should pay for interdependent risk? Policy implications for security interdependence among airports (2020)
Journal Article
Williams, J., Kuper, G., & Massacci, F. (2020). Who should pay for interdependent risk? Policy implications for security interdependence among airports. Risk Analysis, 40(5), 1001-1019. https://doi.org/10.1111/risa.13454

We study interdependent risks in security, and shed light on the economic and policy implications of increasing security interdependence in presence of reactive attackers. We investigate the impact of potential public policy arrangements on the secur... Read More about Who should pay for interdependent risk? Policy implications for security interdependence among airports.

Reaching for Yield and the Diabolic Loop in a Monetary Union (2020)
Journal Article
Boubaker, S., Gounopoulos, D., Nguyen, D., & Paltalidis, N. (2020). Reaching for Yield and the Diabolic Loop in a Monetary Union. Journal of International Money and Finance, 108, Article 102157. https://doi.org/10.1016/j.jimonfin.2020.102157

We use the theoretical framework of Acharya and Naqvi (2019) to introduce a macro-financial model where the “reaching for yield” incentivized by a loosening monetary policy in the United States mitigates the diabolic loop in a Monetary Union. We prov... Read More about Reaching for Yield and the Diabolic Loop in a Monetary Union.