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Gündüz, Yalin; Nasev, Julia; Trapp, Monika - Deutsche Bundesbank - 2013

In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation. We first show that CDS traders adjust the CDS premium...

Persistent link: https://www.econbiz.de/10010984735

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - Deutsche Bundesbank - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10005083101

A "wreckers theory" of financial distress

von Kalckreuth, Ulf - Deutsche Bundesbank - 2005

In recent years, a number of papers have established a new empirical regularity. Stocks of distressed firms vastly underperform those of financially healthy firms. It is not necessary to attribute the negative excess returns of distressed firms to inefficient or irrational markets. We show that...

Persistent link: https://www.econbiz.de/10005059016

Tail Wags Dog? Time-Varying Information Shares in the Bund Market

Upper, Christian; Werner, Thomas - Deutsche Bundesbank - 2002

The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...

Persistent link: https://www.econbiz.de/10005059035

The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany

Fecht, Falko; Wedow, Michael - Deutsche Bundesbank - 2009

load fee this is in line with recent theory arguing that complementarities are mitigated by the involvement of large …

Persistent link: https://www.econbiz.de/10008533497

Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation

Hillebrand, Martin; Böcker, Klaus - Deutsche Bundesbank - 2008

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their interrisk correlation and show how...

Persistent link: https://www.econbiz.de/10005082747

Granularity adjustment for Basel II

Lütkebohmert, Eva; Gordy, Michael B. - Deutsche Bundesbank - 2007

The credit value-at-risk model underpinning the Basel II Internal Ratings-Based approach assumes that idiosyncratic risk has been diversified away fully in the portfolio, so that economic capital depends only on systematic risk contributions. We develop a simple methodology for approximating the...

Persistent link: https://www.econbiz.de/10005082761

Dynamic Q-investment functions for Germany using panel balance sheet data and a new algorithm for the capital stock at replacement values

Bellgardt, Egon; Behr, Andreas - Deutsche Bundesbank - 2002

statistics. The panel data set contains some 2,300 German firms' balance sheet data covering the years 1988-1998. While the Q-theory … panel data by Gilchrist and Himmelberg (1995, 1998) enables the Q-theory to be applied to non-quoted firms which are by far …Die vorliegende Arbeit untersucht das Investitionsverhalten deutscher Unternehmen im Rahmen der Q-Theorie, die eine der …

Persistent link: https://www.econbiz.de/10005083058

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - Deutsche Bundesbank - 2014

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

Persistent link: https://www.econbiz.de/10011161233

Koziol, Christian; Koziol, Philipp; Schön, Thomas - Deutsche Bundesbank - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...

Persistent link: https://www.econbiz.de/10010984740