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International Integration, Common Exposure and Systemic Risk in the Banking Sector: An Empirical Investigation
Allenspach, Nicole; Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper analyzes the impact of ongoing financial integration and increase in crossborder activities on banks’ common exposure to shocks and on banking sector systemic risk. For that, we study the evolution of correlations between large international banks’ asset-to-debt ratios over...
Persistent link: https://www.econbiz.de/10005858331
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Bank Risk Management and the Franchise Value
Bauer, Wolfgang; Ryser, Marc - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We analyze optimal risk management strategies for a regulatory restricted bank financed with deposits and equity in an … infinite horizonmodel. The bank has a positive franchise value from rents coming from deposit related services (liquidity … franchise value and the liquidation costs in case of a bank run give the bank a motivation for risk management. The franchise …
Persistent link: https://www.econbiz.de/10005859100
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Finance and Efficiency: Do Bank Branching Regulations Matter?
Acharya, Viral V.; Imbs, Jean; Sturgess, Jason - Institut für Schweizerisches Bankwesen <Zürich> - 2007
ratios- following intra- and (particularly) interstate liberalization of bank branching restrictions. This effect arises …
Persistent link: https://www.econbiz.de/10005858336
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Intertemporal Mean-Variance Efficiency with a Markovian State Price Density
Zhao, Yonggan; Ziemba, William T. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper extends Merton’s continuous time (instantaneous) mean-varianceanalysis and the mutual fund separation theory. Given the existence of a Marko-vian state price density process, the optimal portfolios from concave utility max-imization are instantaneously mean-variance efficient...
Persistent link: https://www.econbiz.de/10005858416
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Probability misestimation and preferencesin financial investment decision
Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We study the influence of systematic probability misestimation on complexfinancial investment decisions on the context of structured financialproducts. Structured products have in recent years become more and morecomplex. We study the question whether this complexity might be a...
Persistent link: https://www.econbiz.de/10005868835
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Optimal Decision Making under Time Diversification
Vanini, Paolo; Vignola, Luigi - Institut für Schweizerisches Bankwesen <Zürich>; … - 2001
One of the most enduring questions in finance is the persistence of investment risk across time. Traditional finance lacks of recipes on how to approach and how to hedge non-diversifiable risks. Risks that can not be diversified at a given point in time can nevertheless be averaged over time...
Persistent link: https://www.econbiz.de/10005858938
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A Monetary Model with Strong Liquidity Effects
Hagedorn, Marcus - Institut für Schweizerisches Bankwesen <Zürich> - 2001
This paper studies the joint business cycle dynamics of inflation, money growth, nominal and real interest rates and the velocity of money. I extend and estimate a standard cash and credit monetary model by adding idiosyncratic preference shocks to cash consumption as well as a banking sector....
Persistent link: https://www.econbiz.de/10005857754
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Comparing financial centers by using gross value added as main indicator
Ortner, Alessia; Geiger, Hans - Institut für Schweizerisches Bankwesen <Zürich> - 2006
...We demonstrate how the financial sector’s net output and service production can be measured using aggregate financialstatement data. We briefly examine current treatments of financial services in the national income accounts and introduce aconceptual framework for the construction of a...
Persistent link: https://www.econbiz.de/10005856967
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Die Risikopolitik der Banken in ihrer konkreten Ausgestaltung - Entwurf einer ausformulierten Risikopolitik als Vorlage - 2. Teil
Geiger, Hans - Institut für Schweizerisches Bankwesen <Zürich> - 1999
Die folgende Vorlage will als Hilfe bei der Entwicklung, Formulierung und Überprüfung der Risikopolitk einer Bank …
Persistent link: https://www.econbiz.de/10005857023
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Financial Market Equilibria with Cumulative Prospect Theory
de Giorgio, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2009
The paper rst shows that nancial market equilibria need not to exist if agents possesscumulative prospect theory preferences with piecewise-power value functions. This is due tothe boundary behavior of the cumulative prospect theory value function, which might causean innite short-selling...
Persistent link: https://www.econbiz.de/10009354077