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Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
Mili, Mehdi - Institut für Weltwirtschaft (IfW) - 2012
-at-Risk (VaR). For instance, the U.S. (European) portfolio has a VaR of -3.6% (-0.7%) against an ETL of -6% (-0.8%). Moreover, we …
Persistent link: https://www.econbiz.de/10010956076
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Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model /
Demary, Markus - Institut für Weltwirtschaft (IfW) - 2009
This heterogeneous interacting agents model of a financial market is a generalization of the model proposed by Westerhoff (The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies) by traders who are allowed to have different investment horizons as...
Persistent link: https://www.econbiz.de/10008561116
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Hubs and resilience: towards more realistic models of the interbank markets
Montagna, Mattia; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2013
This paper uses a toy financial system to study systemic risk in scale-free interbank networks. Networks are produced according to a fitness algorithm, combined with a representation of the balance sheets of the banks. Our generating processes for interbank networks are designed in a way to...
Persistent link: https://www.econbiz.de/10010905570
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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - Institut für Weltwirtschaft (IfW) - 2013
Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...
Persistent link: https://www.econbiz.de/10010956052
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Contagion Between European and US Banks: Evidence from Equity Prices
Fricke, Daniel - Institut für Weltwirtschaft (IfW) - 2010
This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …
Persistent link: https://www.econbiz.de/10008764567
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Network Analysis of the e-MID Overnight Money Market: The Informational Value of Different Aggregation Levels for Intrinsic Dynamic Processes
Finger, Karl; Fricke, Daniel; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2012
In this paper, we analyze the network properties of the Italian e-MID data based on overnight loans during the period 1999-2010. We show that the networks appear to be random at the daily level, but contain significant non-random structure for longer aggregation periods. In this sense, the daily...
Persistent link: https://www.econbiz.de/10010886878
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Friendship between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations
Finger, Karl; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2014
This paper investigates the driving forces behind banks’ link formation in the interbank market by applying the stochastic actor oriented model (SAOM) developed in sociology. Our data consists of quarterly networks constructed from the transactions on an electronic platform (e-MID) over the...
Persistent link: https://www.econbiz.de/10010905563
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Conservation laws, financial entropy and the eurozone crisis
Cockshott, Paul; Zachariah, David - Institut für Weltwirtschaft (IfW) - 2013
The article attempts of apply econophysics concepts to the Eurozone crisis. It starts by examining the idea of conservation laws as applied to market economies. It formulates a measure of financial entropy and gives numerical simulations indicating that this tends to rise. We discuss an analogue...
Persistent link: https://www.econbiz.de/10010956030
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Stylized facts on the interaction between income distribution and the Great Recession
Aiginger, Karl; Guger, Alois - Institut für Weltwirtschaft (IfW) - 2013
There are several narratives connecting the financial crisis - as well as the Great Depression of the 1930s - with the functional or personal income distribution and its pre-crisis movements. The paper investigates whether this claim can be supported with evidence showing that the crisis was...
Persistent link: https://www.econbiz.de/10010956124
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Core-Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform
Lux, Thomas; Fricke, Daniel - Institut für Weltwirtschaft (IfW) - 2012
We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of the banking system, we estimate different versions of a core-periphery model....
Persistent link: https://www.econbiz.de/10009653068