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We study the propagation of financial crises between regions characterized by moral hazard problems. The source of the problem is that banks are protected by limited liability and may engage in excessive risk taking. The regions are affected by negatively correlated liquidity shocks, so that liquidity coinsurance is Pareto improving. The moral hazard(More)
This paper further explores the horizon effect in the optimal static and dynamic demand for risky assets under return predictability as documented by Barberis (2000). Contrary to the case of stocks, the optimal demand for long-term Government bonds of a buy-and-hold investor is not necessarily increasing in the investment horizon, and may in fact be(More)
BACKGROUND The purpose of this study was to determine the prevalence of level IIb metastasis in patients with oral squamous cell carcinomas (OSCCs). MATERIAL AND METHODS A prospective analysis of 56 patients with OSCC who underwent surgical treatment of the primary lesion with simultaneous neck dissection was performed. During neck dissection, level IIb(More)
  • Pablo Villaplana, Ignacio Peña, Vicente Meneu, Julio Lucía, Álvaro Cartea
  • 2006
(Ulm University) and ASSA meeting (Philadelphia). The author acknowledges financial support provided by Fundación Ramón Areces. All remaining errors are my sole responsibility. Abstract We propose a two factor model for the valuation of electricity derivatives contracts. We consider as state variables demand and available generation capacity. We model the(More)
In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure models. In either case, the current short rate level is not a sufficient statistic for the conditional density of future short rates.(More)
This paper addresses the problem of conducting a nonparametric test of the dimension of the state variable vector in a continuous-time term structure model. The paper shows that a bivariate diffusion function of the short rate process is a sufficient condition for the term structure to be driven by two stochastic factors. Using an easy-to-implement kernel(More)
This paper compares assets-based portfolio management fees to profits-based fees. Whilst both forms of compensation can provide appropriate risk incentives, fund managersíimited liability induces more excess risk-taking under a profits-based fee contract. On the other hand, an assets-based fee is more costly to investors. In Spain, where the law explicitly(More)
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