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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
primarily from convergence in the volatility of state output growth, rather than in its average. The realized industry shares of …
Persistent link: https://www.econbiz.de/10005858336
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Financing and Takeovers
Morellec, Erwan; Zhdanov, Alexei - Institut für Schweizerisches Bankwesen <Zürich> - 2006
relates the dispersion in leverage ratios to various industry characteristics, such as cash flow volatility or bankruptcy …
Persistent link: https://www.econbiz.de/10005858240
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Term structures of implied volatilities : Absence of arbitrage and existence results
Schweizer, Martin; Wissel, Johannes - Institut für Schweizerisches Bankwesen <Zürich> - 2006
This paper studies modelling and existence issues for market models of stochastic implied volatility in a continuous … we give explicit examples of volatility coefficients satisfying the required assumptions. …
Persistent link: https://www.econbiz.de/10005858725
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Libor Market Model with Regime-Switching Volatility
Elliott, Robert; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich> - 2004
This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the … instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the … volatility is modelled by a square root process with a regime-switching reference level. We obtain analytical solutions for the …
Persistent link: https://www.econbiz.de/10005858810
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Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models
Leippold, Markus; Wiener, Zvi - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
adjusted to the volatility structure. The proposed approach leads to an efficient and exible constron met for trinomial trees …
Persistent link: https://www.econbiz.de/10005858854
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Emergency Short Selling Restrictions in theCourse of the Financial Crisis
Gruenewald, Seraina N.; Wagner, Alexander F.; Weber, Rolf H. - Institut für Schweizerisches Bankwesen <Zürich> - 2010
This paper summarizes the short selling restrictions adopted—mainly on anemergency basis—in the time period of July 2008 up to mid-June 2010 in 56countries around the world. It is a supplement to a recent article of theauthors (Gruenewald et al., 2010) and gives a detailed overview of...
Persistent link: https://www.econbiz.de/10009354076
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The Impact of Clearing on the Credit Risk of a Derivatives Portfolio
Murawski, Carsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
Most derivative contracts are traded over-the-counter, i.e., bilaterally between two counterparties. Recently, clearing services have become available that allow to transfer over-the-counter derivatives to a central counterparty (clearing house). We develop a framework to determine the effects...
Persistent link: https://www.econbiz.de/10005859333
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Credit Registries, Relationship Banking and Loan Repayment
Brown, Martin; Zehnder, Christian - Institut für Schweizerisches Bankwesen <Zürich> - 2005
This paper examines the impact of a public credit registry on the repayment behavior of borrowers. We implement an experimental credit market in which loan repayment is not third-party enforceable. We compare market outcome with a credit registry to that without a credit registry. This...
Persistent link: https://www.econbiz.de/10005858877
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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 provision, payment services, safety storage), and from...
Persistent link: https://www.econbiz.de/10005859100
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Ambiguity Aversion and the Term Structure of Interest Rates
Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10005858032