WP 2016-10 Fire Sales and House Prices: Evidence from Estate Sales due to Sudden Death

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Published in 2017 in Management Science, Volume 63, Number 1.

AUTHORS: Steffen Andersen and Kasper Meisner Nielsen

ABSTRACT: This study investigates when forced sales of real estate turn into fire sales by using a natural experiment which allows us to separate supply and demand effects: Forced sales result from sudden death… more »

WP 2013-04 The Marginal Cost of Risk, Risk Measures, and Capital Allocation

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Published in 2016 in Management Science, Volume 62, Issue 5.

AUTHORS: Daniel Bauer and George Zanjani

ABSTRACT. Financial institutions define their marginal cost of risk on the basis of the gradients of arbitrarily chosen risk measures. We reverse this approach by calculating the marginal cost for a profit-maximizing firm with risk-averse counterparties,… more »