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Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach
Mili, Mehdi - Institut für Weltwirtschaft (IfW) - 2012
The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...
Persistent link: https://www.econbiz.de/10010956076
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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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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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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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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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GARCH Modeling of Robust Market Returns
Sáez, Lucía Cuadro; Moreno, Manuel - Institut für Weltwirtschaft (IfW) - 2007
volumes: the volume weighted return. Then we estimate a GARCH (1,1) model for the IBEX-35 futures market that includes shocks …
Persistent link: https://www.econbiz.de/10005818774
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Announcements of ECB Unconventional Programs: Implications for the Sovereign Risk of Italy
Falagiarda, Matteo; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2013
GARCH framework, which uses Italian long-term bond futures to disentangle expected from unexpected policy actions. We find …
Persistent link: https://www.econbiz.de/10010886951
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Stages of the 2007/2008 Global Financial Crisis Is There a Wandering Asset-Price Bubble?
Orlowski, Lucjan T. - Institut für Weltwirtschaft (IfW) - 2008
This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market; spillovers into broader credit market; the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns and Lehman Brothers with counterparty risk...
Persistent link: https://www.econbiz.de/10005083415
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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
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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