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On the correlation structure of microstructure noise in theory and practice
Diebold, Francis X.; Strasser, Georg H. - Center for Financial Studies - 2008
We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise,...
Persistent link: https://www.econbiz.de/10010958580
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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
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Risk transfer with CDOs and systemic risk in bankingfam
Krahnen, Jan Pieter; Wilde, Christian - Center for Financial Studies - 2006
. In this paper we raise the question whether credit asset securitization affects the cyclicality (or commonality) of bank …
Persistent link: https://www.econbiz.de/10010986406
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CDOs and Systematic Risk: Why bond ratings are inadequate
Krahnen, Jan Pieter; Wilde, Christian - Center for Financial Studies - 2009
differ greatly between instruments. Our findings have implications for understanding the credit crisis and for policy making …
Persistent link: https://www.econbiz.de/10004969023
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CDOs and systematic risk: Why bond ratings are inadequate
Krahnen, Jan Pieter; Wilde, Christian - Center for Financial Studies - 2009
differ greatly between instruments. Our findings have implications for understanding the credit crisis and for policy making …
Persistent link: https://www.econbiz.de/10010958590
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Risk transfer with CDOs
Krahnen, Jan Pieter; Wilde, Christian - Center for Financial Studies - 2008
. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of … different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different … CDOinvestors. Our findings can be used to explain major stylized facts observed in credit markets. …
Persistent link: https://www.econbiz.de/10010958755
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Risk Transfer with CDOs
Krahnen, Jan Pieter; Wilde, Christian - Center for Financial Studies - 2008
. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of … different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different … CDO-investors. Our findings can be used to explain major stylized facts observed in credit markets. …
Persistent link: https://www.econbiz.de/10005007636
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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
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Disclosure, transparency, and market discipline
Freixas, Xavier; Laux, Christian - Center for Financial Studies - 2011
. We consider two main sources of information to the market, financial statements and information provided by credit rating …. However, the structure and lack of accountability of credit rating agencies had a profound impact on their incentives, which …
Persistent link: https://www.econbiz.de/10010958732
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Lessons from the European financial crisis
Pagano, Marco - Center for Financial Studies - 2014
This paper distils three lessons for bank regulation from the experience of the 2009-12 euro-area financial crisis. First, it highlights the key role that sovereign debt exposures of banks have played in the feedback loop between bank and fiscal distress, and inquires how the regulation of...
Persistent link: https://www.econbiz.de/10010961638