We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...
Many transportation markets are characterized by oligopolistic competition. In these markets customers, suppliers and regulators make decisions that are influenced by the preferences and the decisions of all other agents. In particular, capturing and under ...
This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...
We propose a framework to find optimal price-based policies to regulate markets characterized by oligopolistic competition and in which consumers make a discrete choice among a finite set of alternatives. The framework accommodates general discrete choice ...
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identi ...
In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...
We extend Duffie et al.'s (2005) search-theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations (or, equivalently, inventory costs). We develop a solution ...
We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our model accommodates inventory shocks following an arbitrary compound Poisson process. We show that the no-tradin ...
This introductory, along with the eight articles contained within this Special Issue, highlights and brings greater clarity to entrant-incumbent interactions and to firm movement - when entrants traverse market territories for the creation and/or delivery ...
This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns.In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...
While executives play an important role in leading firm innovation, they may economize on efforts to innovate when protected from takeover threat. Middle managers may curtail the rate and scope of innovation when executives are expected to reduce their inn ...
Public enterprises operate in the area between the opposing poles of state and market. On the one hand they must meet a wide range of political expectations, and on the other they must fulfil commercial efficiency criteria. This dissertation addresses how ...
Rental housing is increasingly becoming the key shelter option for the poor living in and moving into cities, including those living in informal settlements. The paper revisits the production of rental housing in informal settlements within the new contour ...
The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and compre ...
A constrained informationally efficient market is defined as one in which the price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting which, desp ...
Electronic intermediaries have become pervasive in sales transactions for many durables, such as cars, power tools, and apartments. Yet only recently have they successfully tackled the challenge of enabling parties to share such goods. A key impediment to ...
Matching markets play a prominent role in economic theory. A prime example of such a market is the sponsored search market. Here, as in other markets of that kind, market equilibria correspond to feasible, envy free, and bidder optimal outcomes. For settin ...
Investigating the factors and processes that influence the spatiotemporal distribution of built space and population in an urban area, plays an extremely important role in our greater understanding of the urban travel behaviour. Existing location of activi ...
This thesis describes methods to model the land use component of an urban system. Specifi- cally, it proposes methods to model and simulate the location choice of agents (households or firms) and the formation of prices for real estate goods in a city. The ...
Although research and development (R&D) networks influence the innovation performance of their members, firms may not be fully aware of the scope of their network. In particular, due to cost reasons, they may not be fully informed of their “indirect ties”, ...
