Workshop

"How Likely is Contagion in Financial Networks?" Peyton Young, University of Oxford Abstract: Interconnections among financial institutions create potential channels for contagion and amplification of shocks to the financial system. We propose precise definitions of these concepts and analyze their magnitude. Contagion...

"Regulatory arbitrage and cross-border bank acquisitions" G. Andrew Karolyi (Cornell University) and Alvaro G. Taboada (University of Tennessee) Abstract: We study how differences in bank regulation influence cross-border bank acquisition flows and share price reactions to cross-border deal announcements. Using a sample of...

Quantitative easing in the UK: evidence from financial markets on QE1 and QE2 Abstract: During the recent financial crisis the Bank of England, like many other central banks, loosened monetary policy using both conventional and unconventional measures. The main unconventional measure used by the Bank was the policy of...

Gerhard King (University of Southampton) and Ranadeva Jayasekera (University of Southampton and ex Cambridge PhD) 'A general theory of the firm' We develop a general theory of the firm that models investment and financing decisions simultaneously. Equity holders maximise shareholder value over an infinite time horizon...

Xuan Tam - CFAP, Cambridge Judge Business School, University of Cambridge Bankruptcy and Delinquency in a Model of Unsecured Debt (with Kartik Athreya, Juan M. Sanchez, Eric Young) Abstract: Limited commitment for the repayment of consumer debt comes from two places: formal laws granting a partial or complete discharge for...

Professor Alexander Lipton, Bank of America Merrill Lynch, Imperial College. Asymptotics for Exponential Lévy Processes and their Volatility Smile: Survey and New Results (joint work with Leif Andersen, Bank of America Merrill Lynch and New York University) Abstract: Exponential Lévy processes can be used to model the...

Title : Optimal contracts in incomplete markets with maturity-independent utilities Abstract : In this presentation we look at different problems in incomplete markets using maturity-independent utilities, including portfolio optimization and the design of optimal contracts between agents.

'Macroeconomic Imbalances and the Eurozone Crisis' Abstract: The euro is probably the only currency in the world that was created by economists thinking about the theory of optimum currency areas. Nevertheless, it seems headed for disaster. The purpose of this presentation is to explain why that is so. The argument is that...

The Incentives of Performance Fees, High-Water Marks and Personal Stakes Abstract: In this paper we present a mathematical framework for the optimal investment problem of a fund manager who gets paid a performance fee and a management fee from his investors. Through the equivalence to an optimal stopping problem, we find a...

Conceptualising EU/IMF Financial Assistance Negotiation in Latvia Abstract: I. How the topic will be addressed: detailed outline This paper highlights the preconditions for a successful EU/IMF financial assistance programme by providing an analytical approach to the negotiation process for financial stabilisation in Latvia...