We present a stochastic modelling approach to describe the dynamics of hourly electricity prices. The suggested methodology is a stepwise combination of several mathematical operations to adequately characterize…
Using the syndicated loan market as a laboratory, we analyze the effect of the Brexit referendum on corporate loan origination. Issuances in the UK syndicated loan market dropped by 25% after the Brexit…
We analyze more than 75,000 auctions in which banks bid for firm deposits. In each of these auctions, only the firm observes the banks and their bids and decides where to deposit its funds. Our results show that…
