Author(s): Alistair Milne, Cass Business School, Perry Mehrling, Barnard College, Columbia University, New York, supported by ACCA
Alistair Milne and Perry Mehrling, together with Laurence Kotlikoff of Boston University, propose using government credit insurance guarantees to combat the credit crisis. Their idea is to use these guarantees to put a floor under the prices of the better quality tranches of structured credit securities, hence restoring liquidity to credit markets and arresting the global credit contraction.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 1113
Author(s): Dr Alistair Milne interviewed by Professor Steve Thomas
Dr Alistair Milne, a reader in banking at the Cass Business School, published The Fall of the House of Credit with Cambridge University Press . Steve Thomas, Professor of Finance, caught up with him to talk about the convictions behind the work. Both are Cass Experts. Inculded is the transcript and a summary of the key points.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 249 | 
Mergers and acquisitions are supposed to create value. For professional service firms (PSFs), which are knowledge-based organizations, this value is created through gaining access to and making effective use of new sources of knowledge. It can be the technical knowledge needed to deliver a professional service or the client knowledge required to tailor that service to a client’s needs – and ideally it should be both.
Updated: 06/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 217
Author(s): Radu Tunaru, Cass Business School, City University London, Ephraim Clark, Middlesex University Business School
In this paper we address the problem of political risk with cross country correlations. We develop a model for simultaneously measuring the cost of political risk in several countries that retains most of the characteristics of the single country risk model in terms of its ability to price political risk based on the stochastic process of exposure to loss and the expected frequency of loss causing events. It generalizes the one company-one country approach, however, in that a multivariate approach is taken and correlations across countries are considered directly. The technique developed here can be implemented into a decision support program, providing a feasible solution to the ongoing difficulty of apprehending the multivariate nature of political risk and integrating it into the process of portfolio management.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 90
Author(s): David Blake, Cass Business School, Andrew Cairns, Heriot-Watt University, Kevin Dowd, Nottingham University Business School
In the first part of the paper, we consider the wide range of extrapolative stochastic mortality models that have been proposed over the last 15-20 years. A number of models that we consider are framed in discrete time and place emphasis on the statistical aspects of modelling and forecasting. We discuss how these models can be evaluated, compared and contrasted. We also discuss a discrete-time market model that facilitates valuation of mortality-linked contracts with embedded options. We then review several approaches to modelling mortality in continuous time. These models tend to be simpler in nature, but make it possible to examine the potential for dynamic hedging of mortality risk. Finally, we review a range of financial instruments (traded and over-the-counter) that could be used to hedge mortality risk. Some of these, such as mortality swaps, already exist, while others anticipate future developments in the market.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 104
