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The role of accounting in the German financial system
Leuz, Christian; Wüstemann, Jens - Center for Financial Studies - 2003
This chapter analyzes the role of financial accounting in the German financial system. It starts from the common … perception that German accounting is rather uninformative. This characterization is appropriate from the perspective of an arms … perspective is adopted. The German accounting system exhibits several arrangements that privately communicate information to …
Persistent link: https://www.econbiz.de/10010986429
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The Role of Accounting in the German Financial System
Leuz, Christian; Wüstemann, Jens - Center for Financial Studies - 2003
This chapter analyzes the role of financial accounting in the German financial system. It starts from the common … perception that German accounting is rather "uninformative". This characterization is appropriate from the perspective of an arm … perspective is adopted. The German accounting system exhibits several arrangements that privately communicate information to …
Persistent link: https://www.econbiz.de/10005120790
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Financial disclosure and market transparency with costly information processing
Di Maggio, Marco; Pagano, Marco - Center for Financial Studies - 2014
superior information-processing ability and trade purely to exploit it. The disclosure of financial information induces a trade … disclosure of fundamentals and trading transparency. Issuers may either under- or over-provide information compared to the …
Persistent link: https://www.econbiz.de/10010961636
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VaR-implied tail-correlation matrices
Mittnik, Stefan - Center for Financial Studies - 2013
Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more effi cient...
Persistent link: https://www.econbiz.de/10010958605
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Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
Hartz, Christoph; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006
A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and,...
Persistent link: https://www.econbiz.de/10010958670
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Systemic risk spillovers in the European banking and sovereign network
Betz, Frank; Hautsch, Nikolaus; Peltonen, Tuomas A.; … - Center for Financial Studies - 2014
equity and CDS prices. We provide new evidence on how banking sector fragmentation and sovereign-bank linkages evolved over …
Persistent link: https://www.econbiz.de/10010958802
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Portfolio Optimization wehn 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/10005600451
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Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model
Hartz, Christoph; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006
A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and,...
Persistent link: https://www.econbiz.de/10005120776
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Special issue: Competition among banks - good or bad? : Selected papers from a conference held in Frankfurt am Main, April 7 - 8, 2000
Allen, Franklin (contributor) - 2001
Persistent link: https://www.econbiz.de/10001646103
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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