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The Pricing puzzle: The default term structure of collateralised loan obligations

Jobst, Andreas A. - Center for Financial Studies - 2002

Ambivalence in the regulatory definition of capital adequacy for credit risk has recently steered the financial services industry to collateral loan obligations (CLOs) as an important balance sheet management tool. CLOs represent a specialised form of Asset-Backed Securitisation (ABS), with...

Persistent link: https://www.econbiz.de/10010958811

Exchange trading rules, surveillance and insider trading

Aitken, Michael; Cumming, Douglas; Zhan, Feng - Center for Financial Studies - 2013

We examine the impact of stock exchange trading rules and surveillance on the frequency and severity of suspected … insider trading cases in 22 stock exchanges around the world over the period January 2003 through June 2011. Using new indices … for market manipulation, insider trading, and broker-agency conflict based on the specific provisions of the trading rules …

Persistent link: https://www.econbiz.de/10010958550

Does inter-market competition lead to less regulation?

Draus, Sarah - Center for Financial Studies - 2010

exchange and an alternative trading platform on the decisions concerning trading fees and listing requirements. Listing … requirements, set by the exchange, provide public information on listed firms and contribute to a better liquidity on all trading … situation in which it is a monopolist, because the trading platform can free-ride on this regulatory activity and compete more …

Persistent link: https://www.econbiz.de/10010958568

High frequency trading and end-of-day price dislocation

Aitken, Michael; Cumming, Douglas; Zhan, Feng - Center for Financial Studies - 2013

We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end … month. Moreover, the effect of HFT is more pronounced than the role of trading rules, surveillance, enforcement and legal …

Persistent link: https://www.econbiz.de/10010958725

Pro-rata matching and one-tick futures markets

Field, Jonathan; Large, Jeremy - Center for Financial Studies - 2008

We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically …

Persistent link: https://www.econbiz.de/10010958589

Vertical integration, competition, and financial exchanges: Is there grain in the silo?

Juranek, Steffen; Walz, Uwe - Center for Financial Studies - 2010

, consisting of trading, clearing and settlement. We thereby focus on firms' decisions but also look on the implications of these …

Persistent link: https://www.econbiz.de/10010958700

The evolution of global standards of accounting

Gebhardt, Günther - Center for Financial Studies - 1999

The globalization of markets and companies has increased the demand for internationally comparable high quality accounting information resulting from a common set of accounting rules. Despite remarkable efforts of international harmonization for more than 25 years, accounting regulation is still...

Persistent link: https://www.econbiz.de/10010986378

Instabile Finanzmärkte

Franke, Günter; Krahnen, Jan Pieter - Center for Financial Studies - 2009

Die Vorstellung selbst-stabilisierender, zum Gleichgewicht tendierender Finanzmärkte, lange Zeit als Selbstverständlichkeit angesehen, ist durch die aktuelle Banken- und Kreditkrise in Frage gestellt. Trotz ausgefeilten Risikomanagements der Banken und einer an Basel II orientierten Aufsicht...

Persistent link: https://www.econbiz.de/10010986485

Portfolio optimization when risk factors are conditionally varying and heavy tailed

Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - Center for Financial Studies - 2006

Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and fat tails, the normal distribution with constant...

Persistent link: https://www.econbiz.de/10010958549

Dealing with financial crises: How much help from research?

Pagano, Marco - Center for Financial Studies - 2014

Has economic research been helpful in dealing with the financial crises of the early 2000s? On the whole, the answer is negative, although there are bright spots. Economists have largely failed to predict both crises, largely because most of them were not analytically equipped to understand...

Persistent link: https://www.econbiz.de/10010958553