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Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes
Raviv, Alon - EconWPA - 2004
fixed income unless the value of the bank’s assets falls below a predetermined threshold. In such an event, the debt … obligation is automatically converted to the bank’s common equities. By using a contingent claims valuation approach we present … bank that includes DES or alternatively subordinated debt in its capital structure. We compare and evaluate quantitatively …
Persistent link: https://www.econbiz.de/10005413031
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Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media
Schuster, Thomas - EconWPA - 2003
A widely held belief in financial economics suggests that stock prices always adequately reflect all available information. Price movements away from fundamentals are assumed to occur only infrequently, if at all. „False“ prices are supposed to be corrected by the counter-actions of...
Persistent link: https://www.econbiz.de/10005134753
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News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media
Schuster, Thomas - EconWPA - 2003
Numerous empirical studies have demonstrated that asset prices react rapidly, if at all, to news published in the mass media. In many cases, the information has been discounted and prices have already moved upon primary publication through news wires, press releases or firm announcements. Any...
Persistent link: https://www.econbiz.de/10005561573
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Contagion in Financial Markets
Backus, David; Foresi, Silverio; Wu, Liuren - EconWPA - 2002
This paper presents a model on contagion in nancial markets. We use a bank run framework as a mechanism to initiate a …
Persistent link: https://www.econbiz.de/10005134693
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CASO SOROS
Rubio, Fernando - EconWPA - 2005
El caso analiza al inversor internacional George Soros y su entorno. Se pretende mostrar una serie de operaciones financieras que reflejen sus estrategias de inversión. Adicionalmente, se pretende que los alumnos asuman la figura del Administrador de un HEDGE FUND, especializado en inversiones...
Persistent link: https://www.econbiz.de/10005413075
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CASO ZURICH Y BSCH EN BOLIVIA
Rubio, Fernando - EconWPA - 2004
El caso analiza la hipotética compra por parte del Grupo español Santander Central Hispano de la AFP Futuro de Bolivia a su actual dueño Zurich Financial Services. Se pretende que los alumnos asuman la figura de un consultor financiero que debe dar respuestas concretas a cuatro cuestiones: la...
Persistent link: https://www.econbiz.de/10005413153
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VALUATION OF CALLABLE BONDS: THE SALOMON BROTHERS APROACH
Rubio, Fernando - EconWPA - 2005
This paper explain, analyze and apply in an example the original paper developed by Kopprasch, Boyce, Koenigsberg, Tatevossian, and Yampol (1987) from The Salomon Brothers Inc. Bond Portfolio Analysis Group. Please, be aware. This paper is for educational issues only. There is a Spanish version...
Persistent link: https://www.econbiz.de/10005413157
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Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications
Junker, Markus; Szimayer, Alexander; Wagner, Niklas - EconWPA - 2004
This paper documents nonlinear cross-sectional dependence in the term structure of U.S. Treasury yields and points out risk management implications. The analysis is based on a Kalman filter estimation of a two-factor affine model which specifies the yield curve dynamics. We then apply a broad...
Persistent link: https://www.econbiz.de/10005556362
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Banks, Markets, and Efficiency
Fecht, Falko; Martin, Antoine - EconWPA - 2005
rents already. Thus our results suggest that in the bank-dominated financial system of Germany, in which banks intensely …
Persistent link: https://www.econbiz.de/10005561589
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CASO BANCO GALICIA Y BUENOS AIRES S.A.
Rubio, Fernando - EconWPA - 2004
El caso analiza las especiales circunstancias que vivió el Banco Galicia y Buenos Aires S.A. durante el “corralito” que afectó al sistema financiero argentino durante 2001. Adicionalmente, pretende que los alumnos asuman la figura del Presidente del Banco y de la Sociedad Controladora de...
Persistent link: https://www.econbiz.de/10005561673