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Koopman, Siem Jan; Kraeussl, Roman; Lucas, Andre; … - Tinbergen Institute - 2006

We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980—2005 we directly estimate the credit cycle from the micro rating data. We...

Persistent link: https://www.econbiz.de/10005136965

The Multi-State Latent Factor Intensity Model for Credit Rating Transitions

Koopman, Siem Jan; Lucas, André; Monteiro, André - Tinbergen Institute - 2005

A new empirical reduced-form model for credit rating transitions is introduced. It is a parametric intensity-based duration model with multiple states and driven by exogenous covariates and latent dynamic factors. The model has a generalized semi-Markov structure designed to accommodate many of...

Persistent link: https://www.econbiz.de/10005137142

Private Equity Waves

Smit, Han; Berg, Ward A. van den - Tinbergen Institute - 2006

This study presents a dynamic model for the private equity market in which information revelation and uncertainty rationally explain the cyclical pattern of investment flows into private equity. The net benefit of private equity over public equity is i) uncertain and ii) agents have private...

Persistent link: https://www.econbiz.de/10005209472

Strategic versus Financial Investors: The Role of Strategic Objectives in Financial Contracting

Arping, Stefan; Falconieri, Sonia - Tinbergen Institute

Strategic investors, such as corporate venture capitalists, engage in the financing of start-up firms to complement their core businesses and to facilitate the internalization of externalities. We argue that while strategic objectives make it more worthwhile for an investor to elicit high...

Persistent link: https://www.econbiz.de/10005016265

Market Liquidity, Investor Participation and Managerial Autonomy: Why do Firms go Private?

Boot, Arnoud W.A.; Gopaian, Radhakrishnan; Thakor, Anjan V. - Tinbergen Institute - 2006

ownership relative to private ownership lie in the liquidity of public ownership. While the liquidity of public ownership lets … shareholders trade easily and supply capital at a lower cost, the liquidity-engendered trading also results in stochastic shocks to … higher cost of capital. Thus, capital market liquidity, while being a principal advantage of public ownership, also has a …

Persistent link: https://www.econbiz.de/10005450778

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

McAleer, Michael; Jimenez-Martin, Juan-Angel; … - Tinbergen Institute

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

Persistent link: https://www.econbiz.de/10005016261

Investment, Resolution of Risk, and the Role of Affect

Winden, Frans van; Krawczyk, Michal; Hopfensitz, Astrid - Tinbergen Institute - 2008

This experimental study is concerned with the impact of the timing of the resolution of risk on people’s willingness to take risks, with a special focus on the role of affect. While the importance of anticipatory emotions has so far been only inferred from decisions regarding hypothetical...

Persistent link: https://www.econbiz.de/10005144438

Explaining Hedge Fund Investment Styles by Loss Aversion

Siegmann, Arjen; Lucas, André - Tinbergen Institute - 2002

Recent research reveals that hedge fund returns exhibit a range of different, possibly non-linear pay-off patterns. It is difficult to qualify all these patterns simultaneously as being rational in a traditional framework for optimal financial decision making. In this paper we present a simple...

Persistent link: https://www.econbiz.de/10005144566

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Institute - 1999

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk. Depending on both the degree of non-linearity of the instruments comprised in the portfolio and the willingness to make restrictive assumptions on the underlying statistical distributions, a...

Persistent link: https://www.econbiz.de/10005144576

Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility

Cakmakli, Cem; Dijk, Dick van - Tinbergen Institute - 2010

This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...

Persistent link: https://www.econbiz.de/10008740266