Augusto Hasman

EHL Hospitality Business School · Finance

We examine a policy in which owners of banks provide funds in the form of a surety bond in addition to equity capital. This policy would require banks to provide the regulator with funds that could be invested in marketable securities. Investors in the bank receive the income from the surety bond as long as the bank is in business. The capital valu...

This paper studies the interaction between bank capital regulation, moral hazard and co-existence of traditional and shadow banks. Bank managers can choose between traditional banking and off-balance sheet special purpose vehicles (SPV), in a setup with deposit insurance and moral hazard. We first show that in the absence of SPV intermediation, cap...

It is well known that several industries, like the hotel industry, are subject to low frequency high impact events resulting from their operations. However, there is a dearth of academic research in this area. In this paper we propose an innovative methodology to study the problem using a combination of Asset Pricing Models and an original database...

This paper analyzes capital requirements in combination with a particular kind of cash reserves, that are invested in the risk-free asset, from now on, compensated reserves. We consider a dynamic framework of banking where competition may induce banks to gamble. In this set up, we can capture the two effects that capital regulation has on risk, the...

Intervention has taken different forms in different countries and periods of time. Moreover, recent episodes showed that in front of an imminent crisis, the promise of no interventions made by governments is barely credible. In this paper we address the problem of resolving banking crises from the government perspective, taking into account the fac...

We analyze an overlapping generations economy where agents interact to share liquidity risk. We show that a pure exchange economy has excessive trade in equilibrium because agents interact to rebalance their portfolios. Intergenerational financial intermediaries reduce the number of interactions because agents only transact when they face liquidity...

The recent financial crisis has focused the attention of scholars and policymakers on how to improve financial stability through better macro‐prudential regulation and supervision. In this paper, we compare the existing theoretical and empirical literature on contagion through the banking system. It is argued that the structure of the interbank mar...

This paper analyzes market discipline in a many-bank economy where contagion and bank runs interact. We present a model with differently-informed depositors, where those depositors that are more informed have incentives to monitor banks’ investments. It is shown that when banks are undercapitalized, and the probability of success of the risky asset...

This paper analyzes the effectiveness of different government policies to prevent the emergence of banking crises. In particular, we study the impact on welfare of using taxpayers money to recapitalize banks, government injection of money into the banking system through credit lines, the creation of a buffer and taxes on financial transactions (the...

This paper analyzes the effectiveness of different government policies to prevent the emergence of banking crises. In particular, we study the impact on welfare of using taxpayers money to recapitalize banks, government injection of money into the banking system through credit lines, the creation of a buffer and taxes on financial transactions (the...

We present an overlapping generations model with spatial separation and agents who face liquidity risk to investigate the widely held belief that financial intermediaries exist because they save on transaction costs. We find that if agents only use a pure exchange mechanism, they engage in active portfolio duration rebalancing even when they do not...

This paper incorporates costly voluntary acquisition of information à la Nikitin and Smith (2007) [Nikitin, M., Smith, R.T., 2007. Information acquisition, coordination, and fundamentals in a financial crisis. Journal of Banking and Finance, in press, doi:10.1016/j.jbankfin.2007.04.031], in a framework similar to Allen and Gale (2000) [Allen, F., G...

This paper analyses the impact that taxes have on the emergence of financial crises. We also analyze the accuracy of different policies in hands of governments to prevent banking crises like reducing the public budget and taxes, or postponing their collection via taxes on financial transactions. A key finding of this paper is that even though the g...

The aim of this article is 2-fold: first to test the adequacy of Pareto distributions to describe the tail of financial returns in emerging and developed markets, and second to study the possible correlation between stock market indices observed returns and return's extreme distributional characteristics measured by Value at Risk and Expected Short...

The paper incorporates costly voluntary acquisition of informatio a la Nikitin and Smith (2007), in a framework similar to Allen and Gale (2000), without relying on any unexpected shock to model contagion. The objective of the paper is threefold: First, it shows that financial crises and contagion can be due to both fundamentals and sunspots. Secon...

En el capítulo I se presenta el estado actual de la literatura bancaria y se plantean los principales problemas aún no resueltos y que se investigarán en los siguientes capítulos. En el capítulo II se analiza el rol de la información y de las diferentes estructuras del sistema bancario en la generación de pánicos y sus posibles efectos sobre el res...