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Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to measure risk adequately in a multi period...
Persistent link: https://www.econbiz.de/10005858869
We analyze the investment behavior of private clients concerning structured products. To ascertain their stated and … the questionnaire are that a product described by the investment motives in simple words heavily motivates people to … are described in the traditional, technical style. Finally, the sizes and distribution of the investment amounts turns out …
Persistent link: https://www.econbiz.de/10005858052
Theories of investment suggest that the option value of waiting to invest is significant in many branches of economics …, where investment is irreversible. The existing literature has generally failed to account for the general equilibrium … moderate levels of risk aversion. Our analysis demonstrates that the implications of partial equilibrium models of investment …
Persistent link: https://www.econbiz.de/10005858793
investment flexibilitychange. However, there is no (within-subject) experimental evidence for this conjectureso far. To close … analysis reveals that the influenceof changes in feedback frequency and investment flexibility are not asstraightforward as …
Persistent link: https://www.econbiz.de/10009354101
We study properties of structured financial products optimizing a utility functional of a customer. The conventional method may have the disadvantage that the a priori restriction to a certain number of assets could make it impossible to find the optimal portfolio. So instead of optimizing the...
Persistent link: https://www.econbiz.de/10005858026
This paper sheds light on the influence of exchange rate volatility on foreign direct investment (FDI), both at the … provides a theoretical rationale for this findingand offers new insights in the investment-uncertainty relation. Both the … investment level. In contrast, I derive the expected foreigndirect investment of an economy over a given time period. To estimate …
Persistent link: https://www.econbiz.de/10005858054
n this study, we examine the level of stock market integration and the impact of sovereign risk on the pricing of European equity markets since the introduction of the euro. We use a multivariate GARCH(1,1)-M return generating model allowing for partial market integration in which sovereign risk...
Persistent link: https://www.econbiz.de/10005859116
The main objective of this work is to develop a general equilibrium business cycle model linking financial and real estate markets to the macroeconomy. The ability of a production economy to account simultaneously for asset pricing, business cycle and real estate market facts is then evaluated...
Persistent link: https://www.econbiz.de/10005858335
. Therefore, firms solve a dynamic problem with both an investment and a financing decision. This feature allows firms to finance … investment through both retained earnings and debt. As a result, debt will increase after a positive shock and dividends will … follow a smoother path. This implies that, as pointed by previous empirical evidence, short-term fluctuations in investment …
Persistent link: https://www.econbiz.de/10005859002
A common method of valuing the equity in leveraged transactions is the flows-to-equity method whereby the free cash flow available to equity holders is discounted at the cost of equity. This method uses a standard definition of equity free cash flow, but the cost of equity varies over time as...
Persistent link: https://www.econbiz.de/10009354137