3 papers
q-fin.GN2021
Robust Decisions for Heterogeneous Agents via Certainty Equivalents
Anne G. Balter, Nikolaus Schweizer
We study the problem of a planner who resolves risk-return trade-offs - like financial investment decisions - on behalf of a collective of agents with heterogeneous risk preference…
econ.GN2020
Contingent Capital with Stock Price Triggers in Interbank Networks
Anne G. Balter, Nikolaus Schweizer, Juan C. Vera
This paper studies existence and uniqueness of equilibrium prices in a model of the banking sector in which banks trade contingent convertible bonds with stock price triggers among…
q-fin.CP2013
Extrapolating the term structure of interest rates with parameter uncertainty
Anne Balter, Antoon Pelsser, Peter Schotman
Pricing extremely long-dated liabilities market consistently deals with the decline in liquidity of financial instruments on long maturities. The aim is to quantify the uncertainty…