2 papers
q-fin.PM2020
The importance of dynamic risk constraints for limited liability operators
John Armstrong, Damiano Brigo, Alex S. L. Tse
Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with…
q-fin.MF2018
Dividend Policy and Capital Structure of a Defaultable Firm
Alex S. L. Tse
Default risk significantly affects the corporate policies of a firm. We develop a model in which a limited liability entity subject to Poisson default shock jointly sets its divide…