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The WORLD6 model is a fully integrated dynamic world systems model. It includes a biophysical global economic model, based on first principles of physics and thermodynamics, forcing it to be fully consistent with the underlying mass- and energy balances. T ...
Paul Scherrer Institute, World Resources Forum2019
Governments choose to issue risky or riskless debt depending on the nature of the stochastic process of output. We use Brownian motion and Poisson shocks a modeling method in the literature on corporate default known as Levy processes to approximate a deco ...
We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...
We argue that the time-varying regional distribution of housing equity influences the aggregate consequences of monetary policy through its effects on mortgage refinancing. Using detailed loan-level data, we show that regional differences in housing equity ...
Technology-based (“FinTech”) lenders increased their market share of U.S. mortgage lending from 2% to 8% from 2010 to 2016. Using loan-level data on mortgage applications and originations, we show that FinTech lenders process mortgage applications 20% fast ...
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS ...
Due to its enormous size and capital base, the insurance industry has the potential to play a key role in countering climate change. To this end, the major capital flows associated with its investment and underwriting businesses would need to be redirected ...
In engineering education, laboratories represent an important academic resource as they provide practical training in addition to the fundamental theories. However, the acquisition of new machinery and the maintenance of the equipment imply a large investm ...
This paper studies the impact of higher bank capital requirements on corporate lending spreads. We conduct an empirical analysis using granular bank- and loan-level data for Switzerland. Overall, we nd a positive relationship between capital ratios, actual ...
Because most mortgages in the United States are securitized in agency mortgage-backed securities (MBS), yield spreads on MBS are a key determinant of homeowners’ funding costs. We study variation in MBS spreads in the time series and across securities and ...
