We study how traditional reinsurance and CAT bonds can be combined to build an optimal
catastrophe insurance programme. We develop a contingent claims model to investigate the …

We use contingent claims analysis to evaluate portfolios of vulnerable private loan guarantees
and to investigate their risk diversification properties. We find that for plausible baseline …

Using the big six Canadian chartered banks quarterly financial statements and daily stock
market data from 1982 to 2018, we examine the impact of non-interest income on Canadian …

Using a large sample of municipal bond data from 2001 to 2010 in the US, this paper documents
the time variation of the value of municipal bond insurance, estimated from the insured …

The resource allocation process constitutes the main vehicle for a company’s strategic thrust,
and eventually determines its long-run competitive position. Strategic decision making in …

We extend the financial guarantee insurance literature by modeling, under stochastic interest
rates, private financial guarantees when the guarantor potentially defaults. By performing …

We investigate whether the inclusion of Cat Bonds in portfolios composed of traditional
assets and common factors is beneficial to investors. Various mean‐variance spanning tests …

A simultaneous equation model is developed that jointly determines net interest margin and
various maturity gaps. Using annual data for the majority of the population of insured …

This paper analyzes the risk‐management practices of a vulnerable credit insurer by
studying the effects of time‐varying correlations, asset risks and loan maturities on the risk‐based …

We identify a novel concept of discretionary idiosyncratic volatility proxied by the idiosyncratic
volatility component not related to the non-systematic industry volatility as a source of …