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Is historical cost accounting a panacea? : market stress, incentive distortions, and gains trading
Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, Christian - 2012
Persistent link: https://www.econbiz.de/10009552187
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Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach
Gaisser, Sandra - 2016
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10012989258
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Statistics for copula-based measures of multivariate association : theory and applications to financial data
Gaißer, Sandra Caterina - 2011
Persistent link: https://www.econbiz.de/10009125241
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The hunt for duration : not waving but drowning?
Domanski, Dietrich; Shin, Hyun Song; Sushko, Vladyslav - 2015
Persistent link: https://www.econbiz.de/10011435991
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Interaction effects between dynamic hybrid products and traditional deferred annuities in the German life insurance market
Moretti, Nikolaj; Bartels, Johannes - In: Financial markets and portfolio management 35 (2021) 2, pp. 193-224
Dynamic hybrid products emerged in 2007 and are now well established in the German life insurance market. In this … sold by the same insurance company. The key question we investigate is whether the presence of dynamic hybrid products has … a negative effect on the payout of traditional insurance products. We do so by using data drawn from a Monte Carlo …
Persistent link: https://www.econbiz.de/10012588324
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Vermögensanlagevorschriften für deutsche Versicherungsunternehmen : status quo und finanzwirtschaftliche Bewertungen
Maurer, Raimond; Stephan, Thomas G. - 2000
Persistent link: https://www.econbiz.de/10013444412
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Intraday anomalies and market efficiency : a trading robot analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
Persistent link: https://www.econbiz.de/10010348409
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Throttling Hyperactive Robots - Order to Trade Ratios at the Oslo Stock Exchange
Jorgensen, Kjell - 2017
We investigate the effects of introducing a fee on excessive order to trade ratios (OTR) on market quality at the Oslo Stock Exchange (OSE). We find that traders reacted to the regulation, as measured OTRs fell. However, market quality, measured with depth, spreads, and realized volatility,...
Persistent link: https://www.econbiz.de/10012973486
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Intraday Anomalies and Market Efficiency : A Trading Robot Analysis
Caporale, Guglielmo Maria - 2014
profit opportunities by replicating the actions of traders. Specifically, the analysis is based on a trading robot which …
Persistent link: https://www.econbiz.de/10013054316
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Intraday Anomalies and Market Efficiency : A Trading Robot Analysis
Caporale, Guglielmo Maria - 2015
profit opportunities by replicating the actions of traders. Specifically, the analysis is based on a trading robot which …
Persistent link: https://www.econbiz.de/10013033667