We build a framework for modelling fire sales where banks face both liquidity and solvency
constraints and choose which assets to sell in order to minimise liquidation losses. Banks …

We examine how the overnight gilt repo market operates during three episodes of liquidity
stress, using novel transaction-level data on repurchase agreements on gilts. Using network …

Climate change presents risks and opportunities for the real economies and financial sectors
of the IMF’s global membership. Understanding the risks is key to prepare for a successful …

We examine how the repo market operates during liquidity stress by applying network
analysis to novel transaction-level data of the overnight gilt repo market including the COVID-19 …

We examine how the overnight gilt repo market operates during three episodes of liquidity
stress, using novel transaction-level data on repurchase agreements on gilts. Using network …

This paper develops a framework to examine how the interactions between the valuation
regime and solvency requirements influence investment behaviour of long-term investors with …

This paper adopts a dynamic contracting framework to study the design of prudential
regulation of a bank engaging in excessive risk-taking. The bank's manager can enhance short …

This thesis investigates moral hazard problems and issues related to banks' risk-taking; it
delivers implications with regard to prudential regulation, dynamic incentive contracts, and …

This paper examines how the interactions between the valuation regime and solvency
requirements influence insurers’ investment behaviour when they have incentives to risk-shift to …

… Lepore, Caterina (AA 2009/2010) Dynamic derivative strategies. Tesi di Laurea in Metodi
matematici delle scienze economiche e finanziarie, LUISS Guido Carli, relatore Fausto …