The Experts below are selected from a list of 108681 Experts worldwide ranked by ideXlab platform
Thilo Meyer-brandis - One of the best experts on this subject based on the ideXlab platform.
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Systemic optimal Risk transfer equilibrium
2021Co-Authors: Francesca Biagini, Alessandro Doldi, Jean-pierre Fouque, Marco Frittelli, Thilo Meyer-brandisAbstract:We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the Bühlmann’s classical notion of an Equilibrium Risk Exchange. We provide sufficient general assumptions that guarantee existence, uniqueness, and Pareto optimality of such a SORTE. In both the Bühlmann and the SORTE definition, each agent is behaving rationally by maximizing his/her expected utility given a budget constraint. The two approaches differ by the budget constraints. In Bühlmann’s definition the vector that assigns the budget constraint is given a priori. On the contrary, in the SORTE approach, the vector that assigns the budget constraint is endogenously determined by solving a systemic utility maximization. SORTE gives priority to the systemic aspects of the problem, in order to optimize the overall systemic performance, rather than to individual rationality.
Matej Marinč - One of the best experts on this subject based on the ideXlab platform.
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the use of financial derivatives and Risks of u s bank holding companies
2014Co-Authors: Matej MarinčAbstract:This chapter examines the impact of financial derivatives on systematic Risk of publicly listed U.S. bank holding companies (BHCs) from 1997 to 2012. We find that the use of financial derivatives is positively and significantly related to BHCs’ systematic Risk exposures. Higher use of interest rate derivatives, Exchange rate derivatives, and credit derivatives corresponds to the greater systematic interest rate Risk, Exchange rate Risk, and credit Risk. The positive relationship between derivatives and Risks persists for derivatives for trading as well as for derivatives for hedging. We also analyze the role of BHCs’ size and capital and the impact of the global financial crisis on the relationship between derivatives and Risks.
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the use of financial derivatives and Risks of u s bank holding companies
2014Co-Authors: Matej MarinčAbstract:This article examines the impact of financial derivatives on systematic Risk of publicly listed U.S. bank holding companies (BHCs) from 1997 to 2012. We find that the use of financial derivatives is positively and significantly related to BHCs’ systematic Risk exposures. Higher use of interest rate derivatives, Exchange rate derivatives, and credit derivatives corresponds to greater systematic interest rate Risk, Exchange rate Risk, and credit Risk. The positive relationship between derivatives and Risks persists for derivatives for trading as well as for derivatives for hedging. We also analyze the role of BHCs’ size and capital and the impact of the global financial crisis on the relationship between derivatives and Risks.
Francesca Biagini - One of the best experts on this subject based on the ideXlab platform.
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Systemic optimal Risk transfer equilibrium
2021Co-Authors: Francesca Biagini, Alessandro Doldi, Jean-pierre Fouque, Marco Frittelli, Thilo Meyer-brandisAbstract:We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the Bühlmann’s classical notion of an Equilibrium Risk Exchange. We provide sufficient general assumptions that guarantee existence, uniqueness, and Pareto optimality of such a SORTE. In both the Bühlmann and the SORTE definition, each agent is behaving rationally by maximizing his/her expected utility given a budget constraint. The two approaches differ by the budget constraints. In Bühlmann’s definition the vector that assigns the budget constraint is given a priori. On the contrary, in the SORTE approach, the vector that assigns the budget constraint is endogenously determined by solving a systemic utility maximization. SORTE gives priority to the systemic aspects of the problem, in order to optimize the overall systemic performance, rather than to individual rationality.
Jean-pierre Fouque - One of the best experts on this subject based on the ideXlab platform.
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Systemic optimal Risk transfer equilibrium
2021Co-Authors: Francesca Biagini, Alessandro Doldi, Jean-pierre Fouque, Marco Frittelli, Thilo Meyer-brandisAbstract:We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the Bühlmann’s classical notion of an Equilibrium Risk Exchange. We provide sufficient general assumptions that guarantee existence, uniqueness, and Pareto optimality of such a SORTE. In both the Bühlmann and the SORTE definition, each agent is behaving rationally by maximizing his/her expected utility given a budget constraint. The two approaches differ by the budget constraints. In Bühlmann’s definition the vector that assigns the budget constraint is given a priori. On the contrary, in the SORTE approach, the vector that assigns the budget constraint is endogenously determined by solving a systemic utility maximization. SORTE gives priority to the systemic aspects of the problem, in order to optimize the overall systemic performance, rather than to individual rationality.
Marco Frittelli - One of the best experts on this subject based on the ideXlab platform.
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Systemic optimal Risk transfer equilibrium
2021Co-Authors: Francesca Biagini, Alessandro Doldi, Jean-pierre Fouque, Marco Frittelli, Thilo Meyer-brandisAbstract:We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the Bühlmann’s classical notion of an Equilibrium Risk Exchange. We provide sufficient general assumptions that guarantee existence, uniqueness, and Pareto optimality of such a SORTE. In both the Bühlmann and the SORTE definition, each agent is behaving rationally by maximizing his/her expected utility given a budget constraint. The two approaches differ by the budget constraints. In Bühlmann’s definition the vector that assigns the budget constraint is given a priori. On the contrary, in the SORTE approach, the vector that assigns the budget constraint is endogenously determined by solving a systemic utility maximization. SORTE gives priority to the systemic aspects of the problem, in order to optimize the overall systemic performance, rather than to individual rationality.
