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Belhaj

Publications

Risk taking under heterogenous revenue sharingJournal articleMohamed Belhaj et Frédéric Deroian, Journal of Development Economics, Volume 98, Issue 2, pp. 192-202, 2012

We examine the impact of informal risk sharing on risk taking incentives when transfers are organized through a social network. A bilateral partial sharing rule satisfies that neighbors share equally a part of their revenue. In such a society, correlated technologies generate interdependent risk levels. We obtain three findings. First, there is a unique and interior Nash-equilibrium risk profile, and it is in general differentiated and related to the Bonacich measure of the risk sharing network. Second, more revenue sharing enhances risk taking on average, although some agents may lower their risk level. Last, we find that under investment might often be observed.
Excess capital, operational disaster risk, and capital requirements for banksJournal articleMohamed Belhaj, Quantitative Finance, Volume 11, Issue 5, pp. 653-661, 2011

No abstract is available for this item.
Optimal Dividend Payments when Cash Reserves Follow a Jump-Diffusion ProcessJournal articleMohamed Belhaj, Mathematical Finance, Volume 20, Issue 2, pp. 313-325, 2010

We consider a model in which a firm faces two types of liquidity risks: a Brownian risk and a Poisson risk. The firm chooses a dividend policy to maximize shareholder value. We characterize the optimal firm value and we show that the optimal dividend policy is a barrier strategy: the firm keeps cash inside when the cash reserves level is less than a critical threshold and pays cash in excess of this threshold. We also analyze the problem of insurance against the Poisson risk. We find that it is optimal for the firm to buy full insurance when its cash reserves are above a critical threshold and not to insure otherwise.
Endogenous effort in communication networks under strategic complementarityJournal articleMohamed Belhaj et Frédéric Deroian, International Journal of Game Theory, Volume 39, Issue 3, pp. 391-408, 2010

This article explores individual incentives to produce information on communication networks. In our setting, efforts are strategic complements along communication paths with convex decay. We analyze Nash equilibria on a set of networks which are unambiguous in terms of centrality. We first characterize both dominant and dominated equilibria. Second, we examine the issue of social coordination in order to reduce the social dilemma.
Optimal Investment under Credit ConstraintsJournal articleMohamed Belhaj et Bertrand Djembissi, Annals of Economics and Statistics, Issue 93-94, pp. 259-277, 2009

We analyze in this paper the interaction between financing and investment decisions in presence of debt issuance costs. We find that, while debt issuance costs reduce tax shields, tax shields induce a higher investment trigger. Moreover, the investment trigger is a non-monotonic function of the borrowing capacity. Indeed, as credit constraints relax, entrepreneurs with small debt capacity speed up investment to exploit tax shields, whereas those with large debt capacity postpone investment to minimize default risk.